| Overall Statistics |
|
Total Trades 27 Average Win 0.52% Average Loss -0.98% Compounding Annual Return 10.306% Drawdown 3.200% Expectancy 0.062 Net Profit 1.108% Sharpe Ratio 1.033 Probabilistic Sharpe Ratio 49.856% Loss Rate 31% Win Rate 69% Profit-Loss Ratio 0.53 Alpha 0.053 Beta -0.192 Annual Standard Deviation 0.086 Annual Variance 0.007 Information Ratio 1.246 Tracking Error 0.221 Treynor Ratio -0.463 Total Fees $39.48 |
from dateutil import parser
import pickle
class statusObj:
def __init__(self):
self.invested = False
self.positionDay = '2020-01-01'
class ResistanceUncoupledThrustAssembly(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 8, 13) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.spy = self.AddEquity('SPY', Resolution.Daily).Symbol
if self.ObjectStore.ContainsKey("MyObject"):
#self.ObjectStore.Delete("MyObject")
#initialization check
self.Log('initializing: stored object detected!')
deserialized=bytes(self.ObjectStore.ReadBytes("MyObject"))
storedStatus=pickle.loads(deserialized)
self.Log('stored day in stored object: '+str(storedStatus.positionDay))
self.status=statusObj()
def OnData(self, data):
if not self.Portfolio.Invested:
self.SetHoldings(self.spy, 1)
self.status.invested=True
self.status.positionDay=str(self.Time.day)
self.Log('position day in status object: '+str(self.status.positionDay))
serialized=pickle.dumps(self.status)
self.ObjectStore.SaveBytes("MyObject", serialized)
#after save check
deserialized=bytes(self.ObjectStore.ReadBytes("MyObject"))
storedStatus=pickle.loads(deserialized)
self.Log('position day in stored object: '+str(storedStatus.positionDay))
else:
if self.ObjectStore.ContainsKey("MyObject"):
deserialized = bytes(self.ObjectStore.ReadBytes("MyObject"))
storedStatus = (pickle.loads(deserialized))
#additional check
self.Log('position day in stored object: '+str(storedStatus.positionDay))
#date = parser.parse(storedStatus.positionDay)
self.Liquidate(self.spy)
self.status.invested=False
self.status.positionDay = '2020-01-01'