Overall Statistics
Total Trades
8200
Average Win
0.04%
Average Loss
-0.04%
Compounding Annual Return
-1.612%
Drawdown
62.300%
Expectancy
-0.102
Net Profit
-8.564%
Sharpe Ratio
0.086
Probabilistic Sharpe Ratio
1.627%
Loss Rate
57%
Win Rate
43%
Profit-Loss Ratio
1.07
Alpha
-0.118
Beta
0.775
Annual Standard Deviation
0.279
Annual Variance
0.078
Information Ratio
-0.654
Tracking Error
0.244
Treynor Ratio
0.031
Total Fees
$8229.72
Estimated Strategy Capacity
$1200000.00
Lowest Capacity Asset
OXY R735QTJ8XC9X
 
class AlertYellowGreenAnguilline(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2016, 3, 30)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.pair1 = self.AddEquity("VLO", Resolution.Hour).Symbol
        self.pair2 = self.AddEquity("OXY", Resolution.Hour).Symbol
        self.sma1 = self.SMA(self.pair1, 14, Resolution.Daily)
        self.sma2 = self.SMA(self.pair2, 14, Resolution.Daily)
                    
        self.AutomaticIndicatorWarmUp = True


    def OnData(self, data):
        if self.sma1.Current.Value > self.sma2.Current.Value:
            self.SetHoldings(self.pair2, 0.5)
            self.SetHoldings(self.pair1, 0)
        elif self.sma1.Current.Value < self.sma2.Current.Value:
            self.SetHoldings(self.pair1, 0.5)
            self.SetHoldings(self.pair2, 0)