| Overall Statistics |
|
Total Trades 451 Average Win 0.64% Average Loss -0.42% Compounding Annual Return 7.234% Drawdown 16.700% Expectancy 0.112 Net Profit 14.969% Sharpe Ratio 0.459 Probabilistic Sharpe Ratio 19.390% Loss Rate 56% Win Rate 44% Profit-Loss Ratio 1.52 Alpha 0.059 Beta 0.055 Annual Standard Deviation 0.157 Annual Variance 0.025 Information Ratio -0.636 Tracking Error 0.267 Treynor Ratio 1.317 Total Fees $451.00 Estimated Strategy Capacity $69000000.00 Lowest Capacity Asset PEP R735QTJ8XC9X |
class HyperActiveAsparagusAlligator(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019, 1, 3)
self.SetEndDate(2021, 1, 3)
self.SetCash(100000)
spy = self.AddEquity("SPY", Resolution.Daily)
spy.SetDataNormalizationMode(DataNormalizationMode.Raw)
aapl = self.AddEquity("PEP", Resolution.Daily)
aapl.SetDataNormalizationMode(DataNormalizationMode.Raw)
self.ratioEarliest = 0
self.ratioMiddle = 0
self.ratioLatest = 0
def OnData(self, data):
self.ratio = self.Securities["SPY"].Price / self.Securities["PEP"].Price
# self.Debug (self.Ratio)
#Update the 3 ratio variables
self.ratioEarliest = self.ratioMiddle
self.ratioMiddle = self.ratioLatest
self.ratioLatest = self.ratio
#Plot the ratio
self.Plot("Data Chart", "Ratio", self.ratio)
#self.Plot("Data Chart", "Asset Price", data["AAPL"].Close)
#If ratio has increased 3 times, sell a and buy b
if self.ratioEarliest < self.ratioMiddle and self.ratioMiddle < self.ratioLatest:
#check that there has been a 3 down since the last buy
#sell a and buy b
self.MarketOrder("SPY", 100)
self.MarketOrder("PEP", -100)
#If ratio has decreased 3 times, buy a and sell b
if self.ratioEarliest > self.ratioMiddle and self.ratioMiddle > self.ratioLatest:
#check that 1 day has passed since last trade
#check that there has been a 3 up since the last buy
#buy a and sell b
self.MarketOrder("SPY", -100)
self.MarketOrder("PEP", 100)