| Overall Statistics |
|
Total Trades 8 Average Win 11.09% Average Loss -12.00% Compounding Annual Return 20.566% Drawdown 18.900% Expectancy 0.443 Net Profit 20.628% Sharpe Ratio 1.066 Probabilistic Sharpe Ratio 49.096% Loss Rate 25% Win Rate 75% Profit-Loss Ratio 0.92 Alpha 0.201 Beta -0.083 Annual Standard Deviation 0.173 Annual Variance 0.03 Information Ratio -0.05 Tracking Error 0.37 Treynor Ratio -2.229 Total Fees $12.59 Estimated Strategy Capacity $700000000.00 |
class FormalFluorescentYellowArmadillo(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 1, 1) # Set Start Date
self.SetEndDate(2021, 1, 1) # Set End Date
self.SetCash(100000) # Set Strategy Cash
spy = self.AddEquity("SPY", Resolution.Daily)
# self.AddForex, self.AddFuture...
spy.SetDataNormalizationMode(DataNormalizationMode.Raw)
self.spy = spy.Symbol
self.SetBenchmark("SPY")
self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin)
self.entryPrice = 0
self.period = timedelta(31)
self.nextEntryTime = self.Time
def OnData(self, data):
if not self.spy in data:
return
# price = data.Bars[self.spy].Close
price = data[self.spy].Close
# price = self.Securities[self.spy].Close
if not self.Portfolio.Invested:
if self.nextEntryTime <= self.Time:
self.SetHoldings(self.spy, 1)
# self.MarketOrder(self.spy, int(self.Portfolio.Cash / price) )
self.Log("BUY SPY @" + str(price))
self.entryPrice = price
elif self.entryPrice * 1.1 < price or self.entryPrice * 0.90 > price:
self.Liquidate()
self.Log("SELL SPY @" + str(price))
self.nextEntryTime = self.Time + self.period