Overall Statistics |
Total Trades 1029 Average Win 0.12% Average Loss -0.11% Compounding Annual Return 8.348% Drawdown 3.200% Expectancy 0.087 Net Profit 4.823% Sharpe Ratio 1.803 Loss Rate 48% Win Rate 52% Profit-Loss Ratio 1.11 Alpha -0.009 Beta 0.476 Annual Standard Deviation 0.044 Annual Variance 0.002 Information Ratio -2.285 Tracking Error 0.047 Treynor Ratio 0.168 Total Fees $2222.71 |
class BasicTemplateAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2017,1,1) # Set Start Date self.AddEquity("SPY", Resolution.Hour) def OnData(self, data): if not self.Portfolio.Invested: self.SetHoldings("SPY", 1) else: self.Liquidate() def OnEndOfAlgorithm(self): for trade in self.TradeBuilder.ClosedTrades: self.Log("Symbol: {0} Quantity: {1} EntryTime: {2} EntryPrice: {3} ExitTime: {4} ExitPrice: {5}, ProfitLoss: {6}, TotalFees: {7}, MAE: {8}, MFE: {9}, Duration: {10}, EndTradeDrawdown: {11}" .format(trade.Symbol, trade.Quantity, trade.EntryTime, trade.EntryPrice, trade.ExitTime, trade.ExitPrice, trade.ProfitLoss, trade.TotalFees, trade.MAE, trade.MFE, trade.Duration, trade.EndTradeDrawdown));