| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 13.259% Drawdown 7.400% Expectancy 0 Net Profit 1.017% Sharpe Ratio 0.79 Probabilistic Sharpe Ratio 47.145% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.006 Beta 0.997 Annual Standard Deviation 0.2 Annual Variance 0.04 Information Ratio 3.543 Tracking Error 0.002 Treynor Ratio 0.158 Total Fees $7.68 |
from Alphas.ConstantAlphaModel import ConstantAlphaModel
from Execution.ImmediateExecutionModel import ImmediateExecutionModel
from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
from Risk.MaximumDrawdownPercentPerSecurity import MaximumDrawdownPercentPerSecurity
class MultidimensionalModulatedAntennaArray(QCAlgorithm):
def Initialize(self):
self.SetStartDate(1998, 1, 1) # Set Start Date
self.SetEndDate(1998, 1, 30) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.UniverseSettings.Resolution = Resolution.Minute
symbols = [ Symbol.Create("SPY", SecurityType.Equity, Market.USA) ]
self.SetUniverseSelection( ManualUniverseSelectionModel(symbols) )
# Emit a constant Price Insight of Up direction
self.AddAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(days=1)))
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
self.SetRiskManagement(NullRiskManagementModel())
self.SetExecution(ImmediateExecutionModel())
def OnData(self, data):
# if not self.Portfolio.Invested:
# self.SetHoldings("SPY", 1)
pass