Overall Statistics
Total Orders
54
Average Win
8.68%
Average Loss
-4.82%
Compounding Annual Return
85.943%
Drawdown
31.800%
Expectancy
0.615
Start Equity
10000
End Equity
18583.82
Net Profit
85.838%
Sharpe Ratio
1.44
Sortino Ratio
2.164
Probabilistic Sharpe Ratio
58.526%
Loss Rate
42%
Win Rate
58%
Profit-Loss Ratio
1.80
Alpha
0.257
Beta
3.079
Annual Standard Deviation
0.453
Annual Variance
0.206
Information Ratio
1.378
Tracking Error
0.38
Treynor Ratio
0.212
Total Fees
$409.42
Estimated Strategy Capacity
$1900000.00
Lowest Capacity Asset
UVXY V0H08FY38ZFP
Portfolio Turnover
13.42%
 
from AlgorithmImports import *

class BasicTemplateAlgorithm(QCAlgorithm):
    '''Basic template algorithm simply initializes the date range and cash'''

    def GetRsi(self, symbol, days):
        trades = self.history[TradeBar](symbol, days, Resolution.DAILY, data_normalization_mode=DataNormalizationMode.SPLIT_ADJUSTED)
        rsi = RelativeStrengthIndex(symbol, days, MovingAverageType.WILDERS)
        self.Debug("calculating rsi for {}".format(symbol))
        for trade in trades:
            self.Debug("{}:{}".format(trade.time.strftime("%Y-%m-%d %H:%M:%S %Z%z"), trade.close)) 
            rsi.update(trade.time, trade.close)
        rsi.update(self.Time, self.securities[symbol].price)
        self.Debug("{}:{}".format(self.Time.strftime("%Y-%m-%d %H:%M:%S %Z%z"), self.securities[symbol].price)) 
        return rsi.current.value

    def TradeBeforeMarketClose(self):
        if self.IsWarmingUp:
           return
        rsi = self.GetRsi("TQQQ", 10)
        self.plot("RelativeStrengthIndex", "rsi", rsi)
        if rsi > 79:
            self.SetHoldings("UVXY", 1, True)
        else:
            self.SetHoldings("TQQQ", 1, True)

    def Initialize(self):
        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''

        self.SetStartDate(2023, 1, 3)  #Set Start Date
        self.SetEndDate(2024, 1, 2)    #Set End Date
        self.SetCash(10000)           #Set Strategy Cash
        self.set_time_zone(TimeZones.NEW_YORK)
        self.add_equity("UVXY", Resolution.MINUTE, data_normalization_mode=DataNormalizationMode.RAW)
        self.add_equity("TQQQ", Resolution.MINUTE, data_normalization_mode=DataNormalizationMode.RAW)
        self.Debug("Initilize is complete")
        self.Schedule.On(
            self.DateRules.EveryDay("TQQQ"),
            self.TimeRules.BeforeMarketClose("TQQQ", 5),
            self.TradeBeforeMarketClose)

    def OnData(self, data):
        return