| Overall Statistics |
|
Total Trades 83 Average Win 2.74% Average Loss -3.77% Compounding Annual Return -2.247% Drawdown 29.300% Expectancy 0.026 Net Profit -3.360% Sharpe Ratio 0.042 Probabilistic Sharpe Ratio 9.766% Loss Rate 41% Win Rate 59% Profit-Loss Ratio 0.73 Alpha 0.02 Beta -0.218 Annual Standard Deviation 0.238 Annual Variance 0.057 Information Ratio -0.086 Tracking Error 0.386 Treynor Ratio -0.046 Total Fees $135.00 |
class TransdimensionalVerticalAntennaArray(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2018, 10, 21) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.AddEquity("SPY", Resolution.Daily)
self.AddAlpha(MyAlpha())
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
class MyAlpha(AlphaModel):
def Update(self, algorithm, data):
if algorithm.Portfolio.Invested:
return []
else:
return [Insight.Price("SPY", timedelta(days=10), InsightDirection.Up)]