| Overall Statistics |
|
Total Trades 1826 Average Win 0.02% Average Loss 0.00% Compounding Annual Return 17.542% Drawdown 32.200% Expectancy 1.024 Net Profit 144.930% Sharpe Ratio 0.914 Probabilistic Sharpe Ratio 34.998% Loss Rate 58% Win Rate 42% Profit-Loss Ratio 3.83 Alpha 0.005 Beta 0.938 Annual Standard Deviation 0.142 Annual Variance 0.02 Information Ratio -0.232 Tracking Error 0.012 Treynor Ratio 0.138 Total Fees $1851.98 Estimated Strategy Capacity $860000000.00 Lowest Capacity Asset EQT R735QTJ8XC9X |
class RobinWigglesworthTrillionsAlgorithm(QCAlgorithm):
def Initialize(self):
# The Paris Agreement opened for signature
self.SetStartDate(2016, 4, 22)
self.SetCash(1_000_000)
self.month = 0
self.weights = {}
self.spy = self.AddEquity("SPY").Symbol
spyUniverse = self.Universe.ETF(self.spy, self.UniverseSettings, self.Top500)
self.AddUniverse(spyUniverse, self.SelectFine)
def Top500(self, constituents):
if self.month == self.Time.month:
return Universe.Unchanged
self.month = self.Time.month
selected = sorted([c for c in constituents if c.Weight],
key=lambda c: c.Weight, reverse=True)[:500]
self.weights = {c.Symbol: c.Weight for c in selected}
return [c.Symbol for c in selected]
def SelectFine(self, fine):
for f in fine:
industry = f.AssetClassification.MorningstarIndustryGroupCode
if industry != MorningstarIndustryGroupCode.OilAndGas:
self.weights.pop(f.Symbol, None)
msg = f'{self.Time} :: The Oil and Gas Industry has {len(self.weights)} stocks and represents {sum(self.weights.values()):.2%} of the S&P500'
self.Log(msg)
return [k for k,v in self.weights.items()]
def OnData(self, data):
if not self.weights:
return
self.weights[self.spy] = -1
self.SetHoldings([PortfolioTarget(s, -q)
for s,q in self.weights.items()])
self.weights.clear()