| Overall Statistics |
|
Total Orders 93 Average Win 0% Average Loss 0% Compounding Annual Return 52.553% Drawdown 33.100% Expectancy 0 Start Equity 100 End Equity 56840.37 Net Profit 56740.371% Sharpe Ratio 1.236 Sortino Ratio 2.661 Probabilistic Sharpe Ratio 71.648% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0.297 Annual Variance 0.088 Information Ratio 1.294 Tracking Error 0.297 Treynor Ratio 0 Total Fees $93.00 Estimated Strategy Capacity $1300000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 0.08% |
from AlgorithmImports import *
class SpyDCAAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetCash(100)
self.SetStartDate(2010, 1, 1)
self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Cash)
self.UniverseSettings.Resolution = Resolution.Daily
self.etf = self.AddEquity("SPY", self.UniverseSettings.Resolution)
self.Schedule.On(self.DateRules.MonthEnd(self.etf.Symbol),
self.TimeRules.BeforeMarketClose(self.etf.Symbol, 30),
self._add_amount)
def _add_amount(self):
self.Portfolio.CashBook["USD"].AddAmount(100)
self.SetHoldings(self.etf.Symbol, 1)