| Overall Statistics |
|
Total Orders 9 Average Win 9.96% Average Loss -0.84% Compounding Annual Return 21.939% Drawdown 6.100% Expectancy 2.217 Start Equity 1000000 End Equity 1287458.35 Net Profit 28.746% Sharpe Ratio 1.339 Sortino Ratio 1.623 Probabilistic Sharpe Ratio 90.387% Loss Rate 75% Win Rate 25% Profit-Loss Ratio 11.87 Alpha 0.027 Beta 0.48 Annual Standard Deviation 0.073 Annual Variance 0.005 Information Ratio -0.646 Tracking Error 0.076 Treynor Ratio 0.203 Total Fees $111.21 Estimated Strategy Capacity $1000000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 1.93% |
# region imports
from AlgorithmImports import *
# endregion
class QuantLeague(QCAlgorithm):
def initialize(self):
self.set_start_date(2023, 1, 1)
self.set_cash(1000000)
self.symbol = self.add_equity("SPY", Resolution.Daily).Symbol
self.fast_moving_average = self.sma(self.symbol, 50, Resolution.Daily)
self.last_action = None
def on_data(self, data):
# Ensure we have enough data to calculate the moving average
if not self.fast_moving_average.is_ready:
return
price = data[self.symbol].Close
# Buy if the price is above the moving average
if price > self.fast_moving_average.current.value:
if not self.portfolio.invested or self.last_action == "Sell":
self.set_holdings(self.symbol, 1)
self.last_action = "Buy"
# Sell if the price is below the moving average
elif price < self.fast_moving_average.current.value:
if self.portfolio.invested and self.last_action == "Buy":
self.liquidate(self.symbol)
self.last_action = "Sell"