Overall Statistics
Total Trades
600
Average Win
0.36%
Average Loss
-0.19%
Compounding Annual Return
-86.067%
Drawdown
13.200%
Expectancy
-0.207
Net Profit
-11.540%
Sharpe Ratio
-3.032
Probabilistic Sharpe Ratio
2.338%
Loss Rate
72%
Win Rate
28%
Profit-Loss Ratio
1.87
Alpha
-0.215
Beta
1.148
Annual Standard Deviation
0.251
Annual Variance
0.063
Information Ratio
-1.634
Tracking Error
0.175
Treynor Ratio
-0.663
Total Fees
$1290.00
Estimated Strategy Capacity
$120000000.00
Lowest Capacity Asset
ES Y6URRFPZ86BL
 
# region imports
from AlgorithmImports import *
# endregion

class UpgradedYellowGreenJackal(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2022, 12, 1)  # Set Start Date
        self.SetEndDate(2022, 12, 23) # End Date
        self.SetCash(100000)  # Set Strategy Cash

        self.emini = self.AddFuture(Futures.Indices.SP500EMini)
        self.emini.SetFilter(0, 90)
       
        self.fast = self.EMA(self.emini.Symbol, 5)
        self.slow = self.EMA(self.emini.Symbol, 13)


    def OnData(self, data):


        if self.fast.Current.Value > self.slow.Current.Value and not self.Portfolio.Invested:
            self.MarketOrder(self.emini.Mapped, 1)
        elif self.fast.Current.Value < self.slow.Current.Value and self.Portfolio.Invested:
            self.MarketOrder(self.emini.Mapped, -1)