Overall Statistics
Total Trades
186
Average Win
5.99%
Average Loss
-1.22%
Compounding Annual Return
10.431%
Drawdown
16.100%
Expectancy
1.654
Net Profit
628.707%
Sharpe Ratio
0.833
Probabilistic Sharpe Ratio
15.829%
Loss Rate
55%
Win Rate
45%
Profit-Loss Ratio
4.90
Alpha
0.093
Beta
-0.014
Annual Standard Deviation
0.11
Annual Variance
0.012
Information Ratio
0.123
Tracking Error
0.211
Treynor Ratio
-6.559
Total Fees
$6897107.59
 
class VentralParticlePrism(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2000, 7, 22)  # Set Start Date
        self.SetEndDate(2020, 7, 22)
        self.SetCash(250000000)  # Set Strategy Cash
        self.AddEquity("QQQ", Resolution.Daily)
        self.AddEquity("TQQQ", Resolution.Daily)
        self.AddEquity("UVXY", Resolution.Daily)
        self.vma = self.SMA("QQQ", 365, Resolution.Daily, Field.Volume)

        self.vmaSlope = MomentumPercent(12)
        
        self.BuyThreshold = ((self.vma.Current.Value)*(-0.123))*100
        self.SellThreshold = ((self.vma.Current.Value)*(-0.1))*100

        self.Schedule.On(
            self.DateRules.EveryDay("QQQ"),
            self.TimeRules.AfterMarketOpen("QQQ", 7),
            self.Derp)
        #Whenever I raise the number of minutes to anything over 10,
        #it buys and sells once every single trading day throughout
        #the entire backtest. I don't understand this at all.
        
        self.SetWarmup(365)
        
    def OnData(self, data):
        if self.IsWarmingUp:
            return
        self.vmaSlope.Update(self.Time, self.vma.Current.Value)
        
    
    def Derp(self):
        if self.vmaSlope.Current.Value >= self.SellThreshold:
            self.Liquidate("TQQQ")
            self.Liquidate("QQQ")
        
        if self.vmaSlope.Current.Value <= self.BuyThreshold:
            self.SetHoldings("TQQQ", 0)
            self.SetHoldings("QQQ", 1)
            self.SetHoldings("UVXY", 0)

            #self.Short == False
            #self.Long == True
        
        #if self.vmaSlope.Current.Value >= self.SellThreshold:
        #    self.Liquidate("TQQQ")
        #    self.Liquidate("QQQ")
            #self.Long == False
            #self.Short == True
            
            #self.market or limit order for UVXY equal to 10% of total portfolio value
        
    #def GimmeHedge(self):
        #if not self.vmaSlope.IsReady:
            #return
        #if self.Short == True:
            #self.SetHoldings("UVXY", 0.15)