| Overall Statistics |
|
Total Trades 129 Average Win 1.46% Average Loss -0.61% Compounding Annual Return 21.409% Drawdown 13.300% Expectancy 1.428 Net Profit 79.055% Sharpe Ratio 1.506 Probabilistic Sharpe Ratio 75.840% Loss Rate 29% Win Rate 71% Profit-Loss Ratio 2.40 Alpha 0.187 Beta -0.041 Annual Standard Deviation 0.12 Annual Variance 0.014 Information Ratio 0.176 Tracking Error 0.246 Treynor Ratio -4.425 Total Fees $319.47 Estimated Strategy Capacity $71000000.00 Lowest Capacity Asset BND 2T |
class CrawlingYellowGreenJackal(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2018, 1, 1)
self.SetEndDate(2021, 1, 1)
self.SetCash(100000)
self.spy = self.AddEquity("QQQ", Resolution.Daily).Symbol
self.bnd = self.AddEquity("BND", Resolution.Daily).Symbol
length = self.GetParameter("sma_length")
length = 30 if length is None else int(length)
self.sma = self.SMA(self.spy, length, Resolution.Daily)
#self.sma = self.SMA(self.spy, 30, Resolution.Daily)
self.rebalanceTime = datetime.min
self.uptrend = True
def OnData(self, data):
if not self.sma.IsReady or self.spy not in data or self.bnd not in data:
return
self.Debug(str(self.Time))
if self.spy in data.Dividends and self.spy not in data.Bars:
self.Debug("Dividend paid for QQQ at time "+str(self.Time))
return
if data[self.spy].Price >= self.sma.Current.Value:
# Either rebalance or rice has crossed above SMA
if self.Time >= self.rebalanceTime or not self.uptrend:
self.SetHoldings(self.spy, 0.8)
self.SetHoldings(self.bnd, 0.2)
self.uptrend = True
self.rebalanceTime = self.Time + timedelta(30)
# Either rebalance or price has crossed below SMA
elif self.Time >= self.rebalanceTime or self.uptrend:
self.SetHoldings(self.spy, 0.2)
self.SetHoldings(self.bnd, 0.8)
self.uptrend = False
self.rebalanceTime = self.Time + timedelta(30)
self.Plot("Benchmark", "SMA", self.sma.Current.Value)