Overall Statistics
Total Orders
239
Average Win
0.06%
Average Loss
-0.05%
Compounding Annual Return
15.975%
Drawdown
7.000%
Expectancy
0.832
Start Equity
100000
End Equity
124921.11
Net Profit
24.921%
Sharpe Ratio
0.89
Sortino Ratio
1.082
Probabilistic Sharpe Ratio
78.850%
Loss Rate
14%
Win Rate
86%
Profit-Loss Ratio
1.14
Alpha
0.009
Beta
0.36
Annual Standard Deviation
0.068
Annual Variance
0.005
Information Ratio
-0.87
Tracking Error
0.096
Treynor Ratio
0.168
Total Fees
$239.71
Estimated Strategy Capacity
$53000000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.50%
 
# region imports
from AlgorithmImports import *
# endregion

class DeterminedTanZebra(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2022, 9, 28)
        self.SetCash(100000)

        tickers = ["SPY", "BND", "GLD", "QQQ"]
        security_type = SecurityType.Cfd if self.LiveMode else SecurityType.Equity
        for ticker in tickers:
            equity = self.AddEquity(ticker, Resolution.Daily)
            equity.sma_fast = self.SMA(equity.Symbol, 50)
            equity.sma_slow = self.SMA(equity.Symbol, 200)
            equity.target_vehicle = self.AddCfd(ticker, Resolution.Daily, market=Market.InteractiveBrokers).Symbol if self.LiveMode else equity.Symbol

    def OnData(self, data: Slice):

        for security in self.Securities.Values:
            if security.sma_fast > security.sma_slow:
                self.SetHoldings(security.target_vehicle, 0.25)
            else:
                self.SetHoldings(security.target_vehicle, 0)

        # In Initialize:
        # self.UniverseSettings.Asynchronous = True
        # self.universe = self.AddUniverse(self.FundamentalSelectionFunction)
            
        # def FundamentalSelectionFunction(self, fundamental: List[Fundamental]) -> List[Symbol]:
        #     filtered = [f for f in fundamental if f.Price > 10 and f.HasFundamentalData and not np.isnan(f.ValuationRatios.PERatio)]
        #     sortedByDollarVolume = sorted(filtered, key=lambda f: f.DollarVolume, reverse=True)[:100]
        #     sortedByPeRatio = sorted(sortedByDollarVolume, key=lambda f: f.ValuationRatios.PERatio, reverse=False)[:10]
 
        #     if self.LiveMode: 
        #         return [Symbol.Create(f.Value, SecurityType.Cfd, Market.InteractiveBrokers) for f in sortedByPeRatio]
        #     else:
        #         return [f.Symbol for f in sortedByPeRatio]