Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
 
class SpyTrendAlphaModel(AlphaModel):
    def __init__(self):
        pass
        
    
    def OnSecuritiesChanged(self, algorithm, changes):
        
        self.symbols = [x.Symbol for x in changes.AddedSecurities]

       
    def Update(self, algorithm, data):
         for x in self.symbols:
            history = algorithm.History(x, 7, Resolution.Daily)
            price = history["close"]
            TF_3 = price.pct_change(3)[-1]
            
            if TF_3 > 0:
                return Insight.Price(price.index[0][0], timedelta(1), InsightDirection.Up)
            else :
                return Insight.Price(price.index[0][0], timedelta(1), InsightDirection.Down)
# Inspired by the theory here:
# https://seekingalpha.com/article/4299701-leveraged-etfs-for-long-term-investing

import pandas as pd
from SpyTrendAlphaModel import SpyTrendAlphaModel
class MultidimensionalTransdimensionalPrism(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 2, 1)               # Earliest start date for all ETFs in universe 2/1/10
        self.SetEndDate(2020, 5, 6)
        self.SetCash(10000) 
        symbols = [ Symbol.Create("UST", SecurityType.Equity, Market.USA), Symbol.Create("TQQQ", SecurityType.Equity, Market.USA), Symbol.Create("UBT", SecurityType.Equity, Market.USA)]
        
        self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))
        self.SetAlpha(SpyTrendAlphaModel())
        self.SetRiskManagement(CompositeRiskManagementModel(
            MaximumUnrealizedProfitPercentPerSecurity(0.2), 
            MaximumDrawdownPercentPerSecurity(0.3)
            ))
        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
        self.SetExecution(NullExecutionModel())