| Overall Statistics |
|
Total Orders 1 Average Win 0% Average Loss 0% Compounding Annual Return 0.931% Drawdown 1.200% Expectancy 0 Start Equity 100000 End Equity 101343.54 Net Profit 1.344% Sharpe Ratio -6.068 Sortino Ratio -6.225 Probabilistic Sharpe Ratio 38.742% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.053 Beta 0.053 Annual Standard Deviation 0.008 Annual Variance 0 Information Ratio -0.934 Tracking Error 0.142 Treynor Ratio -0.912 Total Fees $1.00 Estimated Strategy Capacity $1400000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 0.01% |
# region imports
from AlgorithmImports import *
# endregion
class FuturesMomentumAlgorithm(QCAlgorithm):
def initialize(self):
self.set_start_date(2024, 1, 1)
self._symbol = self.add_equity('SPY').symbol
self.schedule.on(self.date_rules.every_day(self._symbol), self.time_rules.before_market_open(self._symbol, 0), self._trade)
def _trade(self):
if not self.portfolio.invested:
self.market_order(self._symbol, 10)