| Overall Statistics |
|
Total Trades 2 Average Win 0% Average Loss -4.99% Compounding Annual Return -5.008% Drawdown 5.500% Expectancy -1 Net Profit -4.990% Sharpe Ratio -1.282 Probabilistic Sharpe Ratio 0.003% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.033 Beta 0.018 Annual Standard Deviation 0.027 Annual Variance 0.001 Information Ratio 0.389 Tracking Error 0.2 Treynor Ratio -1.909 Total Fees $2.13 Estimated Strategy Capacity $120000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 0.55% |
# region imports
from AlgorithmImports import *
# endregion
class DeterminedGreenBull(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2022, 1, 1)
self.SetEndDate(2023, 1, 1)
self.SetCash(100000)
self.AddUniverseSelection(ManualUniverseSelectionModel([Symbol.Create("SPY", SecurityType.Equity, Market.USA)]))
self.AddAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(400)))
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
self.AddRiskManagement(MaximumDrawdownPercentPerSecurity(0.05))
self.SetExecution(ImmediateExecutionModel())