Overall Statistics
Total Trades
32
Average Win
0.47%
Average Loss
-0.69%
Compounding Annual Return
-16.444%
Drawdown
3.000%
Expectancy
-0.044
Net Profit
-0.670%
Sharpe Ratio
-1.492
Probabilistic Sharpe Ratio
32.927%
Loss Rate
43%
Win Rate
57%
Profit-Loss Ratio
0.67
Alpha
0.809
Beta
0.447
Annual Standard Deviation
0.122
Annual Variance
0.015
Information Ratio
14.475
Tracking Error
0.141
Treynor Ratio
-0.407
Total Fees
$43.35
 
class VerticalModulatedCoil(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 2, 15)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.SetUniverseSelection(ManualUniverseSelectionModel([Symbol.Create(symbol, SecurityType.Equity, Market.USA) for symbol in ["SPY", "TLT"]]))
        self.SetAlpha(MyAlpha())
        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
        self.SetExecution(ImmediateExecutionModel())


class MyAlpha(AlphaModel):
    
    def __init__(self):
        self.day = 0
        
    def Update(self, algorithm, data):
        
        insights = []
        
        if self.day == algorithm.Time.day:
            return insights
            
        self.day = algorithm.Time.day
            
        marketClose = None
        
        for symbol in data.Keys:
            if marketClose is None:
                marketClose = algorithm.Securities[symbol].Exchange.Hours.GetNextMarketClose(algorithm.Time, False);
            insights.append(Insight.Price(symbol, marketClose-timedelta(minutes=1), InsightDirection.Up))
            
        return insights