Overall Statistics
Total Orders
268
Average Win
3.63%
Average Loss
-4.90%
Compounding Annual Return
10.227%
Drawdown
35.800%
Expectancy
0.260
Start Equity
100000
End Equity
460789.95
Net Profit
360.790%
Sharpe Ratio
0.377
Sortino Ratio
0.302
Probabilistic Sharpe Ratio
0.486%
Loss Rate
28%
Win Rate
72%
Profit-Loss Ratio
0.74
Alpha
0.002
Beta
0.773
Annual Standard Deviation
0.182
Annual Variance
0.033
Information Ratio
-0.121
Tracking Error
0.148
Treynor Ratio
0.089
Total Fees
$10331.53
Estimated Strategy Capacity
$65000000.00
Lowest Capacity Asset
AAPL R735QTJ8XC9X
Portfolio Turnover
4.67%
Drawdown Recovery
1318
 
# region imports
from AlgorithmImports import *
# endregion

class AlertYellowGreenChimpanzee(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2010, 1, 1)
        self.set_cash(100000)
        self._aapl = self.add_equity("AAPL", Resolution.HOUR).symbol
        self._rsi = self.rsi(self._aapl, 14)
        self.set_warmup(40)

    def on_data(self, data: Slice):
        if not self._rsi.is_ready: # don't submit orders in warm up.
            return

        if self.portfolio.invested and self._rsi.current.value > 70:
            self.liquidate()
        elif not self.portfolio.invested and self._rsi.current.value < 30:
            self.set_holdings("AAPL", 1)