| Overall Statistics |
|
Total Trades 53 Average Win 9.86% Average Loss -8.71% Compounding Annual Return 1.304% Drawdown 37.800% Expectancy 0.106 Net Profit 5.322% Sharpe Ratio 0.155 Probabilistic Sharpe Ratio 1.937% Loss Rate 48% Win Rate 52% Profit-Loss Ratio 1.13 Alpha 0.018 Beta 0.135 Annual Standard Deviation 0.234 Annual Variance 0.055 Information Ratio -0.357 Tracking Error 0.276 Treynor Ratio 0.27 Total Fees $53.00 Estimated Strategy Capacity $610000000.00 Lowest Capacity Asset TSLA UNU3P8Y3WFAD |
# region imports
from AlgorithmImports import *
from datetime import timedelta
# endregion
class CasualYellowAnguilline(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2018,1,1)
self.SetEndDate(2022,1,1)
self.SetCash(50000)
tsla= self.AddEquity("TSLA", Resolution.Daily)
tsla.SetDataNormalizationMode(DataNormalizationMode.Raw)
self.tsla=tsla.Symbol
self.SetBenchmark("SPY")
self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage,AccountType.Margin)
self.EntryPrice=0
self.Period= timedelta(31)
self.nextEntryTime=self.Time
def OnData(self,data):
if not self.tsla in data:
return
price= self.Securities[self.tsla].Close
if not self.Portfolio.Invested:
if self.nextEntryTime <= self.Time:
self.MarketOrder(self.tsla, 200)
self.Log("BUY TSLA @"+ str(price))
self.EntryPrice= price
elif self.EntryPrice *1.05 <price or self.EntryPrice*0.95 > price:
self.Liquidate(self.tsla)
self.Log("SELL TSLA @"+ str(price))
self.nextEntryTime= self.Time+self.Period