Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
-3.07%
Compounding Annual Return
-24.088%
Drawdown
37.700%
Expectancy
-1
Start Equity
100000
End Equity
67751.53
Net Profit
-32.248%
Sharpe Ratio
-0.867
Sortino Ratio
-1.06
Probabilistic Sharpe Ratio
0.808%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.086
Beta
-1.538
Annual Standard Deviation
0.236
Annual Variance
0.056
Information Ratio
-0.731
Tracking Error
0.386
Treynor Ratio
0.133
Total Fees
$3.29
Estimated Strategy Capacity
$6500000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
Portfolio Turnover
0.31%
 
# region imports
from AlgorithmImports import *
# endregion

class FuturesMomentumAlgorithm(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2024, 1, 1)
        self._symbol = self.add_equity('SPY').symbol
        self.schedule.on(self.date_rules.every_day(self._symbol), self.time_rules.before_market_open(self._symbol, 0), self._trade)

    def _trade(self):
        if not self.portfolio.invested:
            self.set_holdings(self._symbol, -1.2)