Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 28.536% Drawdown 12.300% Expectancy 0 Net Profit 29.423% Sharpe Ratio 1.641 Probabilistic Sharpe Ratio 69.907% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.243 Beta -0.053 Annual Standard Deviation 0.147 Annual Variance 0.022 Information Ratio 0.628 Tracking Error 0.329 Treynor Ratio -4.504 Total Fees $0.00 |
class CalibratedUncoupledRadiator(QCAlgorithm): def Initialize(self): '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.''' self.quandlCode = "LBMA/GOLD" ## Optional argument - personal token necessary for restricted dataset # Quandl.SetAuthCode("your-quandl-token") self.SetStartDate(2019,4,1) #Set Start Date self.SetEndDate(datetime.today() - timedelta(1)) #Set End Date self.SetCash(25000) #Set Strategy Cash self.AddData(QuandlCustomColumns, self.quandlCode, Resolution.Daily, TimeZones.NewYork) self.sma = self.SMA(self.quandlCode, 14) def OnData(self, data): '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.''' if not self.Portfolio.HoldStock: self.SetHoldings(self.quandlCode, 1) self.Debug("Purchased {0} >> {1}".format(self.quandlCode, self.Time)) self.Plot(self.quandlCode, "PriceSMA", self.sma.Current.Value) # Quandl often doesn't use close columns so need to tell LEAN which is the "value" column. class QuandlCustomColumns(PythonQuandl): '''Custom quandl data type for setting customized value column name. Value column is used for the primary trading calculations and charting.''' def __init__(self): # Define ValueColumnName: cannot be None, Empty or non-existant column name self.ValueColumnName = "USD (PM)"