Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
-16.169
Tracking Error
0.165
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
class ChavoAlphaModel(AlphaModel): 
    def __init__(self, algorithm):
        self.algorithm = algorithm
        self.mom = []
        self.Bs = {}
        self.allowedToInsight = False
        
        self.symbols = set()
        
        self.d1 = 2
        self.d2 = 2
        return self
        
    def OnSecuritiesChanged(self, algorithm, changes):
        return
            
    def Update(self, algorithm, data):
        insights = []
        return insights
        
class AdaptableRedOrangeChimpanzee(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2020, 10, 28)
        self.SetEndDate(2020, 11, 28)
        self.SetCash(100000)
        symbols = [Symbol.Create("SPY", SecurityType.Equity, Market.USA),
        Symbol.Create("BND", SecurityType.Equity, Market.USA)]
            
        self.UniverseSettings.Resolution = Resolution.Minute
        self.UniverseSettings.Leverage = 1
        self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))
        
        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
        self.SetRiskManagement(MaximumDrawdownPercentPerSecurity(0.015))
            
        self.alphaville = ChavoAlphaModel(self)
        self.AddAlpha(self.alphaville)