| Overall Statistics |
|
Total Trades 18 Average Win 0.10% Average Loss -0.10% Compounding Annual Return -18.747% Drawdown 0.400% Expectancy -0.352 Net Profit -0.322% Sharpe Ratio -6.962 Probabilistic Sharpe Ratio 0% Loss Rate 67% Win Rate 33% Profit-Loss Ratio 0.94 Alpha -0.017 Beta 0.348 Annual Standard Deviation 0.034 Annual Variance 0.001 Information Ratio 7.861 Tracking Error 0.05 Treynor Ratio -0.681 Total Fees $554.31 |
class Algorithm (QCAlgorithm):
def Initialize(self):
self.SetCash(1000000)
self.SetStartDate(2014, 1, 1)
self.SetEndDate(2014, 1, 6)
self.SetBrokerageModel(BrokerageName.AlphaStreams)
self.AddEquity("SPY", Resolution.Hour)
self.shown = False
def OnData(self, Data):
# Ensure market is open before submitting any orders
if not self.Securities['SPY'].Exchange.ExchangeOpen:
return
if self.Securities['SPY'].Invested:
target = 0
else:
target = 1
quantity = self.CalculateOrderQuantity("SPY", target)
ticket = self.MarketOrder("SPY", quantity)
self.Log(f"Fill: {ticket.AverageFillPrice}")