| Overall Statistics |
|
Total Trades 377 Average Win 0.01% Average Loss -0.03% Compounding Annual Return -0.896% Drawdown 0.600% Expectancy -0.104 Net Profit -0.524% Sharpe Ratio -1.662 Probabilistic Sharpe Ratio 1.218% Loss Rate 39% Win Rate 61% Profit-Loss Ratio 0.46 Alpha -0.015 Beta 0.03 Annual Standard Deviation 0.005 Annual Variance 0 Information Ratio -3.235 Tracking Error 0.067 Treynor Ratio -0.304 Total Fees $377.00 |
class BasicTemplateAlgorithm(QCAlgorithm):
'''Basic template algorithm simply initializes the date range and cash'''
def Initialize(self):
self.SetStartDate(2017,1, 1) #Set Start Date
self.SetEndDate(2017,7,31) #Set End Date
self.SetCash(100000) #Set Strategy Cash
self.AddEquity("SPY", Resolution.Minute)
self.rsi = self.RSI("SPY", 14)
self.SetWarmUp(14)
def OnData(self, data):
if self.IsWarmingUp:
return
if not self.Portfolio["SPY"].Invested:
if self.rsi.Current.Value < 25:
self.MarketOrder("SPY", 100)
else:
if self.rsi.Current.Value > 50:
self.Liquidate()
def OnEndOfDay(self):
self.Plot("Indicators","RSI", self.rsi.Current.Value)