| Overall Statistics |
|
Total Trades 128 Average Win 0.77% Average Loss 0% Compounding Annual Return 2.346% Drawdown 23.500% Expectancy 0 Net Profit 63.362% Sharpe Ratio 0.434 Probabilistic Sharpe Ratio 0.324% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0.014 Beta 0.13 Annual Standard Deviation 0.058 Annual Variance 0.003 Information Ratio -0.34 Tracking Error 0.17 Treynor Ratio 0.195 Total Fees $854.37 |
class GunStocks(QCAlgorithm):
def Initialize(self):
self.SetStartDate(1999, 1, 1) # Set Start Date
self.SetEndDate(2020, 2, 25)
self.SetCash(100000) # Set Strategy Cash
# self.AddEquity("SPY", Resolution.Minute)
self.tickers = ["AXON", "AOBC", "RGR", "VSTO", "SPWH", "OLN", "SWBI"]
for i in self.tickers:
self.AddEquity(i, Resolution.Minute)
self.Securities[i].SetDataNormalizationMode(DataNormalizationMode.Adjusted)
self.senators = {
1999 : "R",
2000 : "R",
2001 : "D",
2002 : "D",
2003 : "R",
2004 : "R",
2005 : "R",
2006 : "R",
2007 : "D",
2008 : "D",
2009 : "D",
2010 : "D",
2011 : "D",
2012 : "D",
2013 : "D",
2014 : "D",
2015 : "R",
2016 : "R",
2017 : "R",
2018 : "R",
2019 : "R",
2020 : "R"
}
self.AddRiskManagement(TrailingStopRiskManagementModel(0.02))
self.lastmonth = -1
def OnData(self, data):
month = self.Time.month
if month == self.lastmonth:
return
self.lastmonth = month
for key, value in self.senators.items():
timeYear = self.Time.year
if (key == timeYear):
for symbol in self.tickers:
if value == "D":
if not self.Portfolio[symbol].Invested:
self.SetHoldings(symbol, 0.12)
self.LimitOrder(symbol, -(self.Portfolio[symbol].Quantity), round(self.Securities[symbol].Price, 2) * 1.06)