| Overall Statistics |
|
Total Trades 5249 Average Win 0.66% Average Loss -0.71% Compounding Annual Return 11.410% Drawdown 29.000% Expectancy 0.067 Net Profit 208.862% Sharpe Ratio 0.752 Loss Rate 45% Win Rate 55% Profit-Loss Ratio 0.93 Alpha 0.217 Beta -4.769 Annual Standard Deviation 0.161 Annual Variance 0.026 Information Ratio 0.628 Tracking Error 0.161 Treynor Ratio -0.025 Total Fees $30817.69 |
class MultidimensionalVerticalGearbox(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2009,1,1) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.AddEquity("SPY", Resolution.Minute)
def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
Arguments:
data: Slice object keyed by symbol containing the stock data
'''
if self.Time.hour == 10 and self.Time.minute == 0:
self.SetHoldings("SPY",0)
if self.Time.hour == 10 and self.Time.minute == 1:
self.SetHoldings("SPY",1)