| Overall Statistics |
|
Total Trades 9012 Average Win 0.04% Average Loss -0.03% Compounding Annual Return 9.407% Drawdown 29.700% Expectancy 1.338 Net Profit 467.223% Sharpe Ratio 0.826 Probabilistic Sharpe Ratio 14.588% Loss Rate 13% Win Rate 87% Profit-Loss Ratio 1.68 Alpha 0 Beta 0 Annual Standard Deviation 0.082 Annual Variance 0.007 Information Ratio 0.826 Tracking Error 0.082 Treynor Ratio 0 Total Fees $9019.21 Estimated Strategy Capacity $98000000.00 Lowest Capacity Asset TLT SGNKIKYGE9NP |
namespace QuantConnect{
public static class Module {
public class YourLife
: QCAlgorithm {
int INITIAL_AGE;
DateTime start;
public override void Initialize() {
this.start = new DateTime(2002, 9, 1);
// Your initial age in 2002:
this.INITIAL_AGE = 35;
this.SetStartDate(this.start);
this.SetCash(100000);
this.AddEquity("SPY", Resolution.Daily);
this.AddEquity("TLT", Resolution.Daily);
this.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage,
AccountType.Cash);
}
public virtual void OnData(object data) {
// Your age since simulation start, in days and years:
var your_age = (this.Time - this.start).TotalDays;
var your_years = your_age / 365 + this.INITIAL_AGE;
var ratio = (100 - your_years) / 100;
this.SetHoldings("SPY", ratio);
this.SetHoldings("TLT", 1 - ratio);
}
}
}
}