| Overall Statistics |
|
Total Trades 21 Average Win 1.40% Average Loss -0.85% Compounding Annual Return 10.523% Drawdown 5.200% Expectancy 1.115 Net Profit 5.193% Sharpe Ratio 1.096 Probabilistic Sharpe Ratio 51.946% Loss Rate 20% Win Rate 80% Profit-Loss Ratio 1.64 Alpha 0.035 Beta 0.383 Annual Standard Deviation 0.068 Annual Variance 0.005 Information Ratio -0.344 Tracking Error 0.086 Treynor Ratio 0.194 Total Fees $24.54 Estimated Strategy Capacity $460000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
class HyperActiveTanCaribou(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 7, 19) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.spy = self.AddEquity("SPY", Resolution.Hour).Symbol
self.sma = self.SMA(self.spy,1,Resolution.Daily)
def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
Arguments:
data: Slice object keyed by symbol containing the stock data
'''
if not self.spy in data.Bars or not self.sma.IsReady:return
if not self.Portfolio.Invested and (self.sma.Current.Value-data.Bars[self.spy].Close)/ self.sma.Current.Value>0.01:
self.SetHoldings("SPY", 1)
if self.Portfolio.Invested and (data.Bars[self.spy].Close-self.sma.Current.Value)/ self.sma.Current.Value>0.01:
self.Liquidate()