| Overall Statistics |
|
Total Trades 132 Average Win 0.15% Average Loss -0.07% Compounding Annual Return 71.280% Drawdown 8.900% Expectancy 1.789 Net Profit 27.721% Sharpe Ratio 3.64 Probabilistic Sharpe Ratio 92.077% Loss Rate 11% Win Rate 89% Profit-Loss Ratio 2.15 Alpha 0.436 Beta 0.543 Annual Standard Deviation 0.162 Annual Variance 0.026 Information Ratio 1.95 Tracking Error 0.158 Treynor Ratio 1.085 Total Fees $155.00 Estimated Strategy Capacity $3900000.00 Lowest Capacity Asset SRC VA4L1G2O9B39 |
class MyAlphaModel(AlphaModel):
def __init__(self):
self.lastMonth = None
def OnSecuritiesChanged(self, algorithm, changes):
pass
def Update(self, algorithm, data):
insights = []
if self.lastMonth == algorithm.Time.month:
return insights
self.lastMonth = algorithm.Time.month
for security in algorithm.ActiveSecurities.Values:
insights.append(Insight.Price(security.Symbol, timedelta(365), InsightDirection.Up))
return insights
class SquareBrownScorpion(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 1, 1)
self.SetCash(100000)
self.lastMonth = None
self.lastRebalanceMonth = -1
self.Settings.RebalancePortfolioOnInsightChanges = False
self.Settings.RebalancePortfolioOnSecurityChanges = False
self.SetBenchmark("SPY")
self.AddUniverseSelection(FineFundamentalUniverseSelectionModel(self.SelectCoarse, self.SelectFine))
self.AddAlpha( MyAlphaModel() )
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(self.RebalanceFunction))
self.AddRiskManagement( NullRiskManagementModel() )
self.SetExecution( ImmediateExecutionModel() )
def RebalanceFunction(self, time):
if self.Time.month != self.lastRebalanceMonth:
self.lastRebalanceMonth = self.Time.month
return time
def SelectCoarse(self, coarse):
sorted_by_dollarvolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True)
return [x.Symbol for x in coarse if x.DollarVolume > 20000000 and x.HasFundamentalData]
def SelectFine(self, fine):
sorted_by_dividend = sorted(fine, key=lambda c: c.ValuationRatios.DivYield5Year, reverse=True)
return [c.Symbol for c in sorted_by_dividend if c.MarketCap > 5000000000][:20]