| Overall Statistics |
|
Total Trades 132 Average Win 0.95% Average Loss -0.63% Compounding Annual Return 11.702% Drawdown 13.500% Expectancy 0.692 Net Profit 39.417% Sharpe Ratio 1.013 Probabilistic Sharpe Ratio 47.491% Loss Rate 33% Win Rate 67% Profit-Loss Ratio 1.52 Alpha 0.104 Beta -0.025 Annual Standard Deviation 0.099 Annual Variance 0.01 Information Ratio -0.159 Tracking Error 0.234 Treynor Ratio -4.023 Total Fees $294.89 Estimated Strategy Capacity $69000000.00 Lowest Capacity Asset BND TRO5ZARLX6JP |
class CrawlingYellowGreenJackal(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2018, 1, 1)
self.SetEndDate(2021, 1, 1)
self.SetCash(100000)
self.spy = self.AddEquity("SPY", Resolution.Daily).Symbol
self.bnd = self.AddEquity("BND", Resolution.Daily).Symbol
length = self.GetParameter("sma_length")
length = 30 if length is None else int(length)
self.sma = self.SMA(self.spy, length, Resolution.Daily)
#self.sma = self.SMA(self.spy, 30, Resolution.Daily)
self.rebalanceTime = datetime.min
self.uptrend = True
def OnData(self, data):
if not self.sma.IsReady or self.spy not in data or self.bnd not in data:
return
# For comparison
# self.SetHoldings(self.spy, 1)
# return
if data[self.spy].Price >= self.sma.Current.Value:
# Either rebalance or rice has crossed above SMA
if self.Time >= self.rebalanceTime or not self.uptrend:
self.SetHoldings(self.spy, 0.8)
self.SetHoldings(self.bnd, 0.2)
self.uptrend = True
self.rebalanceTime = self.Time + timedelta(30)
# Either rebalance or price has crossed below SMA
elif self.Time >= self.rebalanceTime or self.uptrend:
self.SetHoldings(self.spy, 0.2)
self.SetHoldings(self.bnd, 0.8)
self.uptrend = False
self.rebalanceTime = self.Time + timedelta(30)
self.Plot("Benchmark", "SMA", self.sma.Current.Value)