Overall Statistics |
Total Trades 1549 Average Win 0.03% Average Loss 0.00% Compounding Annual Return 6.718% Drawdown 10.100% Expectancy 737.579 Net Profit 55.799% Sharpe Ratio 1.042 Probabilistic Sharpe Ratio 54.292% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 738.42 Alpha -0.001 Beta 0.497 Annual Standard Deviation 0.064 Annual Variance 0.004 Information Ratio -1.086 Tracking Error 0.065 Treynor Ratio 0.134 Total Fees $1568.00 |
from QuantConnect.Data.Custom.USEnergy import * class Slow(QCAlgorithm): def Initialize(self): self.SetStartDate(2013, 1, 1) # Set Start Date self.SetCash(1000000) # Set Strategy Cash # Universe self.tickerList = ["SPY","QQQ"] self.numTickers = len(self.tickerList) for i in range(self.numTickers): self.AddEquity(self.tickerList[i], Resolution.Daily) #self.inputIntoRefinery = self.AddData(USEnergy, USEnergy.Petroleum.UnitedStates.WeeklyGrossInputsIntoRefineries).Symbol #self.netImport = self.AddData(USEnergy, USEnergy.Petroleum.UnitedStates.WeeklyNetImportsOfCrudeOil).Symbol #self.stock = self.AddData(USEnergy, USEnergy.Petroleum.UnitedStates.WeeklyEndingStocksOfCrudeOil).Symbol self.SetBrokerageModel(AlphaStreamsBrokerageModel()) def OnData(self, data): self.SetHoldings(self.tickerList[0], 0.5)