| Overall Statistics |
|
Total Trades 2393 Average Win 0.23% Average Loss -0.09% Compounding Annual Return 8.798% Drawdown 17.900% Expectancy 0.287 Net Profit 40.202% Sharpe Ratio 0.536 Probabilistic Sharpe Ratio 12.054% Loss Rate 64% Win Rate 36% Profit-Loss Ratio 2.60 Alpha 0.042 Beta 0.206 Annual Standard Deviation 0.128 Annual Variance 0.016 Information Ratio -0.339 Tracking Error 0.184 Treynor Ratio 0.333 Total Fees $8061.83 Estimated Strategy Capacity $64000000.00 Lowest Capacity Asset QQQ RIWIV7K5Z9LX |
# RSI and Ema Cross Composite Alpha Model
from Alphas.RsiAlphaModel import RsiAlphaModel
from Alphas.EmaCrossAlphaModel import EmaCrossAlphaModel
# -----------------------------------
ASSETS = ['QQQ', 'SPY', 'TLT', 'TLH']
# ----------------------------------=
class CompositeAlphaModelFrameworkAlgorithm(QCAlgorithmFramework):
def Initialize(self):
self.SetStartDate(2018, 3, 27)
self.SetEndDate(2022, 3, 28)
self.SetCash(1000000)
self.assets = [self.AddEquity(ticker, Resolution.Minute).Symbol for ticker in ASSETS]
self.SetUniverseSelection(ManualUniverseSelectionModel())
self.SetAlpha(CompositeAlphaModel(RsiAlphaModel(), EmaCrossAlphaModel()))
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
self.SetExecution(ImmediateExecutionModel())