| Overall Statistics |
|
Total Trades 139 Average Win 3.16% Average Loss -1.24% Compounding Annual Return 5.205% Drawdown 23.000% Expectancy 0.338 Net Profit 28.899% Sharpe Ratio 0.502 Probabilistic Sharpe Ratio 10.757% Loss Rate 62% Win Rate 38% Profit-Loss Ratio 2.55 Alpha 0.049 Beta -0.009 Annual Standard Deviation 0.094 Annual Variance 0.009 Information Ratio -0.514 Tracking Error 0.173 Treynor Ratio -5.183 Total Fees $637.55 |
class RSIAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2010, 1, 1)
self.SetEndDate(2015, 1, 1)
self.SetCash(100000)
self.AddEquity("SPY", Resolution.Daily)
self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage)
RSI_Period = 14
self.RSI_SPY = self.RSI("SPY", 14)
self.SetWarmUp(52)
#----------------------------------------------------------------------------------------------------------------
#----------------------------------------------------------------------------------------------------------------
def OnData(self, data):
if self.IsWarmingUp:
return
if not self.Portfolio.Invested:
if self.RSI_SPY.Current.Value > 50:
self.SetHoldings("SPY", 1)
if self.Portfolio.Invested:
if self.RSI_SPY.Current.Value < 50:
self.Liquidate("SPY")