Overall Statistics
Total Trades
316
Average Win
0%
Average Loss
-3.30%
Compounding Annual Return
65.998%
Drawdown
20.400%
Expectancy
-1
Net Profit
28.848%
Sharpe Ratio
1.766
Probabilistic Sharpe Ratio
61.156%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.623
Beta
0.006
Annual Standard Deviation
0.354
Annual Variance
0.125
Information Ratio
0.907
Tracking Error
0.373
Treynor Ratio
105.832
Total Fees
$316.00
Estimated Strategy Capacity
$170000000.00
Lowest Capacity Asset
IBM R735QTJ8XC9X
 
class CasualYellowGreenAnguilline(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 12, 15)
        self.SetCash(100000) 
        self.dataBySymbol = {}
        tickers = ["SPY","TSLA","AAPL","GOOG","AMZN","IBM"]
        for ticker in tickers:
            symbol = self.AddEquity(ticker,Resolution.Daily).Symbol
            self.dataBySymbol[symbol] = SymbolData(self,symbol)
        self.SetWarmup(100)

    def OnData(self, data):
        if self.IsWarmingUp:return
        
      
        for symbol,Data in self.dataBySymbol.items():
            if symbol in data.Bars and Data.slow.Current.Value<Data.fast.Current.Value :
                self.MarketOrder(symbol,1)
                
        
class SymbolData:
    def __init__(self,algo,symbol):
        self.slow = algo.SMA(symbol,100,Resolution.Daily)
        self.fast = algo.SMA(symbol,20,Resolution.Daily)