| Overall Statistics |
|
Total Trades 1450 Average Win 0.20% Average Loss -0.06% Compounding Annual Return -3.104% Drawdown 9.000% Expectancy -0.216 Net Profit -8.763% Sharpe Ratio -1.025 Probabilistic Sharpe Ratio 0.001% Loss Rate 82% Win Rate 18% Profit-Loss Ratio 3.44 Alpha -0.023 Beta 0.013 Annual Standard Deviation 0.021 Annual Variance 0 Information Ratio -0.799 Tracking Error 0.16 Treynor Ratio -1.618 Total Fees $1760.12 Estimated Strategy Capacity $19000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 135.90% |
#region imports
from AlgorithmImports import *
#endregion
class MultidimensionalDynamicComputer(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 4, 20) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.spy = self.AddEquity("SPY", Resolution.Minute, dataNormalizationMode=DataNormalizationMode.SplitAdjusted)
self.BuyIn = 0.0
DailyConsolidator = TradeBarConsolidator(timedelta(days=1))
DailyConsolidator.DataConsolidated += self.DailyBarHandler
self.SubscriptionManager.AddConsolidator(self.spy.Symbol, DailyConsolidator)
def OnData(self, data):
CurrentPrice = self.Securities["SPY"].Price
if CurrentPrice > self.BuyIn+1 or CurrentPrice < self.BuyIn-1:
self.SetHoldings("SPY", 0)
return
def DailyBarHandler(self, sender, consolidated):
CurrentPrice = consolidated.Price
if not self.Portfolio.Invested:
self.BuyIn = CurrentPrice
self.SetHoldings("SPY", 1) # A market buy
return