| Overall Statistics |
|
Total Trades 123 Average Win 0.69% Average Loss -0.83% Compounding Annual Return 22.109% Drawdown 4.000% Expectancy 0.199 Net Profit 10.533% Sharpe Ratio 1.981 Probabilistic Sharpe Ratio 72.672% Loss Rate 34% Win Rate 66% Profit-Loss Ratio 0.83 Alpha 0.201 Beta -0.038 Annual Standard Deviation 0.094 Annual Variance 0.009 Information Ratio -1.017 Tracking Error 0.174 Treynor Ratio -4.87 Total Fees $173.03 Estimated Strategy Capacity $870000000.00 |
class SleepyBrownBull(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 10, 8) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.AddEquity("SPY", Resolution.Daily)
def OnData(self, data):
if not self.Portfolio.Invested:
self.SetHoldings("SPY", 1)
else:
self.Liquidate()