| Overall Statistics |
|
Total Trades 4 Average Win 0% Average Loss -0.71% Compounding Annual Return -2.856% Drawdown 1.400% Expectancy -1 Net Profit -1.426% Sharpe Ratio -1.786 Probabilistic Sharpe Ratio 0.000% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.023 Beta -0.001 Annual Standard Deviation 0.013 Annual Variance 0 Information Ratio -0.21 Tracking Error 0.416 Treynor Ratio 30.934 Total Fees $4.00 |
class OptimizedVerticalCoreWave(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 1, 12) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
for ticker in ['SPY', 'TSLA']:
self.AddEquity(ticker, Resolution.Daily)
#self.order_ticket = None
self.liquidated = False
def OnData(self, data):
if not self.Portfolio.Invested and not self.liquidated:
self.SetHoldings("SPY", 0.5)
self.SetHoldings("TSLA", 0.5)
self.spy_order_ticket = self.StopMarketOrder("SPY", -10, 200)
self.tsla_order_ticket = self.StopMarketOrder("TSLA", -10, 100)
else:
if self.liquidated:
return
self.liquidated = True
self.SetHoldings("SPY", 0)
self.Liquidate("TSLA")
self.Log(f"SPY order submitted: {self.spy_order_ticket.Status == OrderStatus.Submitted}")
self.Log(f"TSLA order cancelled: {self.tsla_order_ticket.Status == OrderStatus.Canceled}")