Overall Statistics |
Total Trades 4 Average Win 43.98% Average Loss -3.59% Compounding Annual Return 12.885% Drawdown 53.000% Expectancy 5.630 Net Profit 38.812% Sharpe Ratio 0.538 Probabilistic Sharpe Ratio 18.375% Loss Rate 50% Win Rate 50% Profit-Loss Ratio 12.26 Alpha 0.373 Beta -0.774 Annual Standard Deviation 0.486 Annual Variance 0.236 Information Ratio 0.191 Tracking Error 0.616 Treynor Ratio -0.338 Total Fees $71.71 |
class NadionParticleAntennaArray(QCAlgorithm): def Initialize(self): self.SetStartDate(2018, 1, 1) self.VXXO = self.AddEquity('VXX.1', Resolution.Minute).Symbol self.VXX = self.AddEquity('VXX', Resolution.Minute).Symbol #self.Schedule.On(self.DateRules.On(2018, 1, 20), self.TimeRules.At(15,15), self.VXXDate) self.Schedule.On(self.DateRules.On(2018, 1, 19), self.TimeRules.BeforeMarketClose(self.VXXO, 5), self.VXXDate) def OnData(self, data): if not self.Portfolio.Invested: self.SetHoldings(self.VXXO, 1) def VXXDate(self): # VXX data self.Liquidate(self.VXXO)