Overall Statistics |
Total Trades 292 Average Win 8.62% Average Loss -3.19% Compounding Annual Return 67.931% Drawdown 47.800% Expectancy 0.903 Net Profit 1239.331% Sharpe Ratio 1.289 Loss Rate 49% Win Rate 51% Profit-Loss Ratio 2.70 Alpha 0.49 Beta 0.094 Annual Standard Deviation 0.387 Annual Variance 0.15 Information Ratio 1.008 Tracking Error 0.4 Treynor Ratio 5.313 Total Fees $4161.93 |
//Copyright Warren Harding 2016, granted to the public domain. //Use entirely at your own risk. //Custom algorithm development: warrencharding@yahoo.com. //Do not remove this copyright notice. namespace QuantConnect { public class TQQQSQQQ : QCAlgorithm { StandardDeviation std; int indicatorPeriod=390; Resolution resolution=Resolution.Minute; public override void Initialize() { // backtest parameters SetStartDate(2012, 8, 11); SetEndDate(2017, 8, 11); // cash allocation SetCash(25000); AddEquity("TQQQ", resolution); AddEquity("SQQQ", resolution); std = STD("TQQQ", indicatorPeriod, resolution); var history = History("TQQQ", indicatorPeriod, resolution); foreach (var tradeBar in history) { std.Update(tradeBar.EndTime, tradeBar.Close); } } public override void OnData(Slice data) { if (std<1.2m) { SetHoldings("SQQQ", 0); SetHoldings("TQQQ", 1.0); } else { SetHoldings("TQQQ", 0); SetHoldings("SQQQ", 1.0); } } } }