Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
17.182%
Drawdown
33.700%
Expectancy
0
Start Equity
1000000
End Equity
2588851.60
Net Profit
158.885%
Sharpe Ratio
0.646
Sortino Ratio
0.649
Probabilistic Sharpe Ratio
24.525%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0
Beta
0.998
Annual Standard Deviation
0.164
Annual Variance
0.027
Information Ratio
-0.848
Tracking Error
0
Treynor Ratio
0.106
Total Fees
$22.07
Estimated Strategy Capacity
$74000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
Portfolio Turnover
0.05%
 
# region imports
from AlgorithmImports import *
from scipy.optimize import minimize
from hmmlearn.hmm import GMMHMM
# endregion

class DrawdownRegimeGoldHedgeAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self.set_end_date(2025, 1, 1)
        self.set_start_date(self.end_date - timedelta(6*365))
        self.set_cash(1000000)
        
        # Request SPY as market representative for trading.
        self.spy = self.add_equity("SPY", Resolution.MINUTE).symbol
        
    def on_data(self, slice):
        self.set_holdings(self.spy, 1)