| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 0.052% Drawdown 0.100% Expectancy 0 Net Profit 0.110% Sharpe Ratio 0.689 Probabilistic Sharpe Ratio 31.364% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta -0.001 Annual Standard Deviation 0.001 Annual Variance 0 Information Ratio -0.518 Tracking Error 0.233 Treynor Ratio -0.803 Total Fees $1.00 |
class OptimizedDynamicCoil(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2018, 9, 30) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.AddEquity("SPY", Resolution.Daily)
self.lm = None
def OnData(self, data):
if self.lm is None:
self.LimitOrder('SPY', 1, 239)
self.lm = self.LimitOrder('SPY', 1, 235)
if self.Portfolio.Invested:
self.lm.Cancel()