| Overall Statistics |
|
Total Trades 14909 Average Win 0.00% Average Loss 0.00% Compounding Annual Return 1.007% Drawdown 0.200% Expectancy 5.482 Net Profit 5.141% Sharpe Ratio 4.587 Probabilistic Sharpe Ratio 100.000% Loss Rate 39% Win Rate 61% Profit-Loss Ratio 9.60 Alpha 0.01 Beta -0.002 Annual Standard Deviation 0.002 Annual Variance 0 Information Ratio -0.974 Tracking Error 0.188 Treynor Ratio -6.24 Total Fees $17067.13 Estimated Strategy Capacity $110000.00 Lowest Capacity Asset GBIL WDQCCTR31RHH |
# PSR 100 percent
# -------------------------------------------------------------
STOCKS = ['QQQ', 'XLK', 'FDN']; BILLS = ['SHV', 'BIL', 'GBIL'];
# -------------------------------------------------------------
class PSR_100_percent(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2016, 5, 10)
self.SetEndDate(2021, 5, 10)
self.SetCash(10000000)
res = Resolution.Hour
self.stocks = [self.AddEquity(ticker, res).Symbol for ticker in STOCKS]
self.bills = [self.AddEquity(ticker, res).Symbol for ticker in BILLS]
self.invested = 0
self.wt = {}
def OnData(self, data):
if not self.invested:
for sec in self.stocks:
self.wt[sec] = 1/len(self.stocks)
for sec in self.bills:
self.wt[sec] = 0
self.invested = 1
else:
for sec in self.stocks:
self.wt[sec] = 0
for sec in self.bills:
self.wt[sec] = 1/len(self.bills)
for sec, weight in self.wt.items():
self.SetHoldings(sec, weight)
'''
5 Minutes Research
STOCKS = ['QQQ', 'XLK', 'FDN']; BILLS = ['SHV', 'BIL', 'GBIL'];
Sharpe Ratio
4.587
Total Trades
14909
Drawdown
0.200%
PSR
100.000%
Beta
-0.002
Annual Standard Deviation
0.002
'''