| Overall Statistics |
|
Total Trades 6 Average Win 0.13% Average Loss -0.19% Compounding Annual Return 10.813% Drawdown 0.600% Expectancy 0.130 Net Profit 0.075% Sharpe Ratio 0.74 Probabilistic Sharpe Ratio 0% Loss Rate 33% Win Rate 67% Profit-Loss Ratio 0.70 Alpha 4.048 Beta -3.603 Annual Standard Deviation 0.046 Annual Variance 0.002 Information Ratio -18.198 Tracking Error 0.059 Treynor Ratio -0.01 Total Fees $9.81 |
class UncoupledHorizontalCompensator(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019, 11, 6) # Set Start Date
self.SetEndDate(2019, 11, 9)
self.SetCash(100000) # Set Strategy Cash
self.AddEquity("SPY", Resolution.Minute)
self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.BeforeMarketClose("SPY", 30), self.ClosePositions)
def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
Arguments:
data: Slice object keyed by symbol containing the stock data
'''
stop_time = self.Time.replace(hour=15, minute=29)
if self.Time > stop_time:
return
if not self.Portfolio.Invested:
self.Debug(f"Trading - {self.Time}")
self.SetHoldings("SPY", 1)
def ClosePositions(self):
self.Liquidate()