Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
21.708%
Drawdown
33.700%
Expectancy
0
Net Profit
36.465%
Sharpe Ratio
0.971
Probabilistic Sharpe Ratio
43.328%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.012
Beta
0.998
Annual Standard Deviation
0.269
Annual Variance
0.072
Information Ratio
0.934
Tracking Error
0.012
Treynor Ratio
0.262
Total Fees
$20.94
 
class TachyonUncoupledAtmosphericScrubbers(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 1, 1)
        self.SetEndDate(2020, 8, 1)
        self.SetCash(1000000)
        
        self.AddEquity("SPY", Resolution.Minute)


    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 1)