| Overall Statistics |
|
Total Trades 13 Average Win 0% Average Loss -5.52% Compounding Annual Return 13.606% Drawdown 24.400% Expectancy -1 Net Profit 3.809% Sharpe Ratio 0.505 Probabilistic Sharpe Ratio 37.409% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.216 Beta -0.245 Annual Standard Deviation 0.429 Annual Variance 0.184 Information Ratio 0.284 Tracking Error 0.765 Treynor Ratio -0.884 Total Fees $17.87 |
class VerticalNadionGearbox(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 2, 20) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
symbols = [ Symbol.Create("SPY", SecurityType.Equity, Market.USA) ]
self.SetUniverseSelection( ManualUniverseSelectionModel(symbols) )
self.UniverseSettings.Resolution = Resolution.Daily
self.AddAlpha(MyAlphaModel())
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
self.SetRiskManagement(MaximumDrawdownPercentPerSecurity(0.05))
self.SetExecution(ImmediateExecutionModel())
def OnData(self, data):
pass
class MyAlphaModel(AlphaModel):
emitted = False
def Update(self, algorithm, data):
if self.emitted:
return []
else:
self.emitted = True
return [Insight.Price("SPY", timedelta(365), InsightDirection.Up)]