Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
20.341%
Drawdown
5.900%
Expectancy
0
Net Profit
9.786%
Sharpe Ratio
1.54
Probabilistic Sharpe Ratio
62.388%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.188
Beta
-0.114
Annual Standard Deviation
0.11
Annual Variance
0.012
Information Ratio
-0.016
Tracking Error
0.165
Treynor Ratio
-1.473
Total Fees
$0.00
 
class EMAMomentumUniverse(QCAlgorithm):
    
    def Initialize(self):
        self.SetStartDate(2019, 7, 1)
        self.SetEndDate(2020, 1, 1)
        self.SetCash(10000)
        
        self.UniverseSettings.Resolution = Resolution.Daily
        symbols = [ Symbol.Create("SPY", SecurityType.Equity, Market.USA) ]
        self.SetUniverseSelection( ManualUniverseSelectionModel(symbols) )
        self.SetSecurityInitializer(lambda x: x.SetFeeModel(CustomFeeModel()))
        
        self.AddAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(days=1), 0.025, None))
        
        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
        
        self.SetExecution(ImmediateExecutionModel())
            
class CustomFeeModel:
    def GetOrderFee(self, parameters):
        return OrderFee(CashAmount(0, 'USD'))