Overall Statistics
Total Trades
3
Average Win
0%
Average Loss
-1.16%
Compounding Annual Return
14.977%
Drawdown
9.800%
Expectancy
-1
Net Profit
7.192%
Sharpe Ratio
0.913
Probabilistic Sharpe Ratio
45.799%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.165
Beta
0.171
Annual Standard Deviation
0.189
Annual Variance
0.036
Information Ratio
0.317
Tracking Error
0.414
Treynor Ratio
1.007
Total Fees
$4.91
 
class ModulatedTransdimensionalReplicator(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 12, 14)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity('SPY')
        self.ema10 = self.EMA('SPY', 10, Resolution.Daily)
        self.ema20 = self.EMA('SPY', 20, Resolution.Daily)


    def OnData(self, data):
        if self.ema10.Current.Value > self.ema20.Current.Value:
            self.SetHoldings('SPY', 1.0)
        else:
            self.SetHoldings('SPY', 0.0)