Overall Statistics
Total Trades
131
Average Win
0.04%
Average Loss
-0.16%
Compounding Annual Return
3.528%
Drawdown
7.200%
Expectancy
-0.305
Net Profit
0.171%
Sharpe Ratio
0.253
Probabilistic Sharpe Ratio
43.128%
Loss Rate
45%
Win Rate
55%
Profit-Loss Ratio
0.25
Alpha
0.242
Beta
-0.934
Annual Standard Deviation
0.32
Annual Variance
0.103
Information Ratio
-0.254
Tracking Error
0.359
Treynor Ratio
-0.087
Total Fees
$131.00
 
from datetime import timedelta
class helloWorldModel(AlphaModel): 
    
    def __init__(self):
        self.mom = []

    def OnSecuritiesChanged(self, algorithm, changes):
        for security in changes.AddedSecurities:
            symbol = security.Symbol
            price_val = security.Price
            kama_val=algorithm.KAMA(symbol, 10,2,30, Resolution.Hour)
            mom_val=algorithm.MOM(symbol, 14, Resolution.Hour)
            self.mom.append({"symbol":symbol, "mom":mom_val, "kama":kama_val,"price":str(price_val)})
 
    def Update(self, algorithm, data):
        grp=[]
        x = 0
        while x < len(self.mom):
            symbol=str(self.mom[x]['symbol'])
            mom=str(self.mom[x]['mom'].Current.Value)
            kama=str(self.mom[x]['kama'].Current.Value)
            price=str(self.mom[x]['price'])
            mom_dir=int(float(mom))

            vinsightDirection = InsightDirection.Flat
            signal="hold"
            if mom_dir >0 and price>kama:
                vinsightDirection = InsightDirection.Up
                signal="buy"
            if mom_dir < 0 or price<kama:
                vinsightDirection = InsightDirection.Down
                signal="sell"
            algorithm.Log(symbol+" "+str(mom_dir)+" MOM "+mom+" KAMA "+kama+" LastPrice "+price+" algo action:"+signal)
            grp.append(Insight(symbol, timedelta(1), InsightType.Price, vinsightDirection, 0.0025,None, "helloWorldModel",None))
            x += 1
            
        return Insight.Group(grp)

class FrameworkAlgorithm(QCAlgorithm):
    
    def Initialize(self):
        self.SetStartDate(2020, 12, 1)   
        self.SetCash(100000)           
        tickers=["MSFT","MRNA","MELI"]
        symbols = [Symbol.Create(x, SecurityType.Equity, Market.USA) for x in tickers]
        frequency = Resolution.Hour
         # Set Benchmark
        self.AddEquity("SPY", frequency)
        self.SetBenchmark("SPY")
        self.UniverseSettings.Resolution = frequency
        self.SetWarmUp(timedelta(28)) # Warm up 28 days of data.
        self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))
        self.SetAlpha(helloWorldModel())
        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
        self.SetRiskManagement(MaximumDrawdownPercentPerSecurity(0.02))