Overall Statistics
Total Trades
358
Average Win
0.66%
Average Loss
-0.81%
Compounding Annual Return
-26.503%
Drawdown
27.200%
Expectancy
-0.070
Net Profit
-14.137%
Sharpe Ratio
-0.355
Probabilistic Sharpe Ratio
16.871%
Loss Rate
49%
Win Rate
51%
Profit-Loss Ratio
0.81
Alpha
-0.194
Beta
-0.454
Annual Standard Deviation
0.491
Annual Variance
0.241
Information Ratio
-0.169
Tracking Error
0.779
Treynor Ratio
0.385
Total Fees
$372.08
 
from Execution.ImmediateExecutionModel import ImmediateExecutionModel
from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel

class HorizontalNadionProcessor(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 11, 3)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash

        self.AddAlpha(HistoricalReturnsAlphaModel(self))

        self.SetExecution(ImmediateExecutionModel())

        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())

        tickers = ["SPY", "AAPL", "TSLA"]
        symbols = [ Symbol.Create(t, SecurityType.Equity, Market.USA) for t in tickers]
        self.SetUniverseSelection( ManualUniverseSelectionModel(symbols) )