| Overall Statistics |
|
Total Trades 300 Average Win 0% Average Loss 0% Compounding Annual Return -50.284% Drawdown 3.000% Expectancy 0 Net Profit -1.646% Sharpe Ratio -3.066 Probabilistic Sharpe Ratio 17.024% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.064 Beta 0.878 Annual Standard Deviation 0.162 Annual Variance 0.026 Information Ratio -0.121 Tracking Error 0.031 Treynor Ratio -0.564 Total Fees $300.00 |
class NadionUncoupledCompensator(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 1, 20) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
self.Consolidate(self.symbol, Resolution.Daily, self.consolidation_handler)
self.Schedule.On(self.DateRules.EveryDay(self.symbol), self.TimeRules.Every(timedelta(minutes=30)), self.trade)
def consolidation_handler(self, consolidated):
# Apply rules at daily time frame here
self.Log(f"Consolidated at {self.Time}")
def trade(self):
# Place order logic here
if not (self.CurrentSlice.ContainsKey(self.symbol) and self.CurrentSlice[self.symbol] is not None):
return
self.MarketOrder(self.symbol, 1)
self.Log(f"Order placed at {self.Time}")