Overall Statistics |
Total Trades 159 Average Win 4.35% Average Loss -3.68% Compounding Annual Return 7.254% Drawdown 58.500% Expectancy 0.437 Net Profit 217.761% Sharpe Ratio 0.496 Probabilistic Sharpe Ratio 2.058% Loss Rate 34% Win Rate 66% Profit-Loss Ratio 1.18 Alpha -0.016 Beta 0.932 Annual Standard Deviation 0.171 Annual Variance 0.029 Information Ratio -0.46 Tracking Error 0.05 Treynor Ratio 0.091 Total Fees $864.82 |
class VerticalQuantumAtmosphericScrubbers(QCAlgorithm): def Initialize(self): self.SetStartDate(2003, 6, 29) # Set Start Date self.SetCash(100000) # Set Strategy Cash self.dict = {} self.AddEquity("SPY", Resolution.Daily) #define our bb indicator for SPY self.bb = self.BB("SPY", 14, 2, Resolution.Daily) #tradelock keeps track of whether our entry conditions have been met # if trade lock is true, entry conditions are not yet met, we cannot enter a trade # if trade lock is false, entry conditions have been met and we can now enter a trade # when available self.tradeLock = True def OnData(self, data): #make sure our indicator is ready if not self.bb.IsReady: return price = self.Securities["SPY"].Price #if the price is below 0% BB if price < self.bb.LowerBand.Current.Value: #if we are already in a long position, we liquidate and cut our losses if self.Portfolio["SPY"].Invested: self.Liquidate() #we set trade lock to false, allowing us to enter a trade next time price crosses above 0% BB self.tradeLock = False #if the price is above 0% BB and also trade lock is false if price > self.bb.LowerBand.Current.Value and self.tradeLock is False: #we enter a long position self.SetHoldings("SPY", 1) #set trade lock to true, prohibiting further trades self.tradeLock = True if price > self.bb.UpperBand.Current.Value and self.Portfolio["SPY"].Invested: #if the price crosses the upperband and we have a long position #we liquidate for profit self.Liquidate()