| Overall Statistics |
|
Total Trades 900 Average Win 1.45% Average Loss -1.18% Compounding Annual Return 0.983% Drawdown 44.400% Expectancy 0.045 Net Profit 13.594% Sharpe Ratio 0.129 Probabilistic Sharpe Ratio 0.028% Loss Rate 53% Win Rate 47% Profit-Loss Ratio 1.23 Alpha 0.022 Beta -0.05 Annual Standard Deviation 0.129 Annual Variance 0.017 Information Ratio -0.384 Tracking Error 0.234 Treynor Ratio -0.329 Total Fees $2193.91 |
class RelativeVigorIndexCrossover(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2008, 1, 19)
self.SetEndDate(2021, 1, 26)
self.SetCash(100000)
self.AddEquity("SPY", Resolution.Daily).Symbol
self.rvi = self.RVI("SPY", 14, Resolution.Daily)
self.AutomaticIndicatorWarmUp = True
def OnData(self, data):
if not self.rvi.IsReady: return
rvi = self.rvi.Current.Value
rvi_signal = self.rvi.Signal.Current.Value
if rvi > rvi_signal:
self.SetHoldings("SPY", 1)
else:
self.Liquidate("SPY")