Overall Statistics
Total Trades
36
Average Win
16.89%
Average Loss
-5.35%
Compounding Annual Return
11.573%
Drawdown
33.900%
Expectancy
2.670
Net Profit
851.010%
Sharpe Ratio
0.771
Probabilistic Sharpe Ratio
9.429%
Loss Rate
12%
Win Rate
88%
Profit-Loss Ratio
3.16
Alpha
0.107
Beta
-0.033
Annual Standard Deviation
0.135
Annual Variance
0.018
Information Ratio
0.137
Tracking Error
0.227
Treynor Ratio
-3.16
Total Fees
$36.00
 
class MomentumBasedTacticalAllocation(QCAlgorithm):
    
    def Initialize(self):
        
        self.SetStartDate(2000, 8, 1) 
        #self.SetEndDate(2021, 8, 1)  
        self.SetCash(3000)  
        
        self.spy = self.AddEquity("SPY", Resolution.Daily)  
        self.bnd = self.AddEquity("TLT", Resolution.Daily)  
      
        self.spyMomentum = self.MOMP("SPY", 100, Resolution.Daily) 
        self.bondMomentum = self.MOMP("TLT", 100, Resolution.Daily) 
       
        self.SetBenchmark(self.spy.Symbol)  
        self.SetWarmUp(50) 
  
    def OnData(self, data):
        
        if self.IsWarmingUp:
            return
        
        #1. Limit trading to happen once per week
        if not self.Time.weekday() == 0:
            return
        
        if self.spyMomentum.Current.Value > 0:#self.bondMomentum.Current.Value:
            self.Liquidate("TLT")
            self.SetHoldings("SPY", 1)
            
        else:
            self.Liquidate("SPY")
            self.SetHoldings("TLT", 1)