| Overall Statistics |
|
Total Trades 383 Average Win 0.68% Average Loss -7.96% Compounding Annual Return -4.414% Drawdown 71.600% Expectancy -0.043 Net Profit -61.539% Sharpe Ratio -0.119 Probabilistic Sharpe Ratio 0.000% Loss Rate 12% Win Rate 88% Profit-Loss Ratio 0.09 Alpha -0.021 Beta -0.031 Annual Standard Deviation 0.2 Annual Variance 0.04 Information Ratio -0.386 Tracking Error 0.277 Treynor Ratio 0.766 Total Fees $2144.95 |
class GunStocks(QCAlgorithm):
def Initialize(self):
self.SetStartDate(1999, 1, 1) # Set Start Date
self.SetEndDate(2020, 2, 25)
self.SetCash(100000) # Set Strategy Cash
self.tickers = ["AXON", "AOBC", "RGR", "VSTO", "SPWH", "OLN", "SWBI"]
self.symbols = [self.AddEquity(i, Resolution.Minute).Symbol for i in self.tickers]
self.senators = {
1999 : "R",
2000 : "R",
2001 : "D",
2002 : "D",
2003 : "R",
2004 : "R",
2005 : "R",
2006 : "R",
2007 : "D",
2008 : "D",
2009 : "D",
2010 : "D",
2011 : "D",
2012 : "D",
2013 : "D",
2014 : "D",
2015 : "R",
2016 : "R",
2017 : "R",
2018 : "R",
2019 : "R",
2020 : "R"
}
self.AddRiskManagement(TrailingStopRiskManagementModel(0.02))
self.lastmonth = -1
def OnData(self, data):
month = self.Time.month
if month == self.lastmonth:
return
self.lastmonth = month
for key, value in self.senators.items():
timeYear = self.Time.year
if (key == timeYear):
for i, symbol in enumerate(self.tickers):
if not data.ContainsKey(symbol):
continue
if value == "D":
if not self.Portfolio[symbol].IsLong:
self.Transactions.CancelOpenOrders(self.symbols[i])
self.SetHoldings(symbol, 0.12)
self.LimitOrder(symbol, -(self.Portfolio[symbol].Quantity), round(self.Securities[symbol].Price, 2) * 1.06)
else:
if not self.Portfolio[symbol].IsShort:
self.Transactions.CancelOpenOrders(self.symbols[i])
self.SetHoldings(symbol, -0.12)
self.LimitOrder(symbol, -(self.Portfolio[symbol].Quantity), round(self.Securities[symbol].Price, 2) * (1 /1.06))