Overall Statistics
Total Trades
2150
Average Win
0.35%
Average Loss
-0.43%
Compounding Annual Return
-59.381%
Drawdown
40.700%
Expectancy
-0.076
Net Profit
-36.443%
Sharpe Ratio
-1.324
Probabilistic Sharpe Ratio
1.975%
Loss Rate
49%
Win Rate
51%
Profit-Loss Ratio
0.81
Alpha
-0.482
Beta
-0.892
Annual Standard Deviation
0.422
Annual Variance
0.178
Information Ratio
-0.744
Tracking Error
0.866
Treynor Ratio
0.626
Total Fees
$4097.89
 
class ModulatedOptimizedProcessor(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 12, 16)  # Set Start Date
        self.SetCash(60000)  # Set Strategy Cash
        
        self.qqq = self.AddEquity('QQQ').Symbol
        # self.AddEquity() allows the user to subscribe to the data of a ticker
        # a Symbol is like a ticker, but has more information
        self.tqqq = self.AddEquity('TQQQ').Symbol
        self.sqqq = self.AddEquity('SQQQ').Symbol
        self.AddEquity("SPY")
        
        self.tqqq_init_price = -1
        
        # an event scheduler executes the given function on a certain date and/or at a certain time
        # 'QQQ', self.tqqq, 'TQQQ', etc. are all valid argument parameters
        self.Schedule.On(self.DateRules.EveryDay(self.qqq), self.TimeRules.BeforeMarketClose(self.qqq, 5), self.ClosePositionsEndOfDay)
        # 5 indicates execute function 5 minutes before the markets close
        
    def OnData(self, data):
        
        # make sure we have data for all symbols, if not, return
        if self.qqq not in data or self.tqqq not in data or self.sqqq not in data:
            return
        
        if not self.Portfolio.Invested:
            # set holdings of half of total portfolio (cash amount set with self.SetCash()) to TQQQ shares
            self.SetHoldings(self.tqqq, .5)
            
            # get initial price of tqq
            self.tqqq_init_price = data[self.tqqq].Close
            
            self.SetHoldings(self.sqqq, .5)
        
        if data[self.tqqq].Close * 1.05 > self.tqqq_init_price:
            # setting 0% of portfolio's investment in TQQQ 
            # essentially sells all shares of TQQQ
            self.SetHoldings(self.tqqq, 0)
            
            self.SetHoldings(self.qqq, .5)
    
    def ClosePositionsEndOfDay(self):
        # self.Liquidate() with no specific Symbol will Liquidate all holdings
        self.Liquidate()