| Overall Statistics |
|
Total Trades 76 Average Win 0.25% Average Loss -0.25% Compounding Annual Return -83.625% Drawdown 5.200% Expectancy -0.417 Net Profit -3.888% Sharpe Ratio -3.694 Probabilistic Sharpe Ratio 4.338% Loss Rate 71% Win Rate 29% Profit-Loss Ratio 1.01 Alpha -1.368 Beta 1.207 Annual Standard Deviation 0.205 Annual Variance 0.042 Information Ratio -6.852 Tracking Error 0.184 Treynor Ratio -0.626 Total Fees $463.99 |
class MultidimensionalParticleSplitter(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 11, 25) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.AddUniverse(self.Coarse)
self.UniverseSettings.Resolution = Resolution.Minute
self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.At(9, 30), self.Purchase)
self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.At(15, 0), self.Liquidate)
self.n = 10
def Purchase(self):
for symbol in self.ActiveSecurities.Keys:
self.SetHoldings(symbol, 1/self.n)
def Coarse(self, coarse):
return [c.Symbol for c in coarse][:self.n]