Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
21.668%
Drawdown
34.900%
Expectancy
0
Start Equity
100000
End Equity
351544.86
Net Profit
251.545%
Sharpe Ratio
0.687
Sortino Ratio
0.748
Probabilistic Sharpe Ratio
23.872%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.032
Beta
1.128
Annual Standard Deviation
0.204
Annual Variance
0.042
Information Ratio
0.589
Tracking Error
0.075
Treynor Ratio
0.125
Total Fees
$3.36
Estimated Strategy Capacity
$510000000.00
Lowest Capacity Asset
QQQ RIWIV7K5Z9LX
Portfolio Turnover
0.04%
 
#region imports
from AlgorithmImports import *
#endregion
# For a better understanding of the results : https://www.quantconnect.com/docs/v2/our-platform/backtesting/results


class RetrospectiveYellowGreenAlligator(QCAlgorithm):

    def Initialize(self):
        
        # INITIALIZE
        self.SetStartDate(2019, 1, 1) 
        self.SetEndDate(2025, 5, 28)
        self.SetCash(100000) 
        self.spy = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.qqq = self.AddEquity("QQQ", Resolution.Daily).Symbol
        
        # SET BENCHMARK AND PREPARE COMPARATIVE PLOT
        self.SetBenchmark("SPY")
        self.lastBenchmarkValue = None
        self.BenchmarkPerformance = self.Portfolio.TotalPortfolioValue
        
    def OnData(self, data):
        
        #INVESTMENT STRATEGY
        if not self.Portfolio.Invested:
            self.SetHoldings("QQQ", 1)
            
        #CREATE A COMPARATIVE PLOT OF STRATEGY VS. BENCHMARK
        benchmark = self.Securities["SPY"].Close    
        if self.lastBenchmarkValue is not  None:
           self.BenchmarkPerformance = self.BenchmarkPerformance * (benchmark/self.lastBenchmarkValue)
        self.lastBenchmarkValue = benchmark
        
        self.Plot("Strategy vs Benchmark", "Portfolio Value", self.Portfolio.TotalPortfolioValue)
        self.Plot("Strategy vs Benchmark", "Benchmark", self.BenchmarkPerformance)