| Overall Statistics |
|
Total Trades 2257 Average Win 1.02% Average Loss -1.20% Compounding Annual Return 4.295% Drawdown 62.200% Expectancy 0.042 Net Profit 58.875% Sharpe Ratio 0.275 Probabilistic Sharpe Ratio 0.365% Loss Rate 44% Win Rate 56% Profit-Loss Ratio 0.86 Alpha -0.085 Beta 1.287 Annual Standard Deviation 0.285 Annual Variance 0.081 Information Ratio -0.233 Tracking Error 0.207 Treynor Ratio 0.061 Total Fees $4634.14 Estimated Strategy Capacity $1300000.00 Lowest Capacity Asset JWS XFXVVFRVXQP1 |
class WellDressedSkyBlueSardine(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2010, 1, 1)
self.SetEndDate(2020, 12, 31)
self.SetCash(100000)
self.rebalanceTime = datetime.min
self.activeStocks = set()
self.AddUniverse(self.CoarseFilter, self.FineFilter)
self.UniverseSettings.Resolution = Resolution.Hour
self.portfolioTargets = []
def CoarseFilter(self, coarse):
# Rebalancing monthly
if self.Time <= self.rebalanceTime:
return self.Universe.Unchanged
self.rebalanceTime = self.Time + timedelta(30)
sortedByDollarVolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True)
return [x.Symbol for x in sortedByDollarVolume if x.Price > 10
and x.HasFundamentalData][:200]
def FineFilter(self, fine):
sortedByPE = sorted(fine, key=lambda x: x.MarketCap)
return [x.Symbol for x in sortedByPE if x.MarketCap > 0][:10]
def OnSecuritiesChanged(self, changes):
# close positions in removed securities
for x in changes.RemovedSecurities:
self.Liquidate(x.Symbol)
self.activeStocks.remove(x.Symbol)
# can't open positions here since data might not be added correctly yet
for x in changes.AddedSecurities:
self.activeStocks.add(x.Symbol)
# adjust targets if universe has changed
self.portfolioTargets = [PortfolioTarget(symbol, 1/len(self.activeStocks))
for symbol in self.activeStocks]
def OnData(self, data):
if self.portfolioTargets == []:
return
for symbol in self.activeStocks:
if symbol not in data:
return
self.SetHoldings(self.portfolioTargets)
self.portfolioTargets = []