| Overall Statistics |
|
Total Trades 364 Average Win 0.17% Average Loss -0.08% Compounding Annual Return 8.181% Drawdown 44.200% Expectancy 1.499 Net Profit 148.815% Sharpe Ratio 0.616 Loss Rate 20% Win Rate 80% Profit-Loss Ratio 2.11 Alpha 0.086 Beta 0.057 Annual Standard Deviation 0.141 Annual Variance 0.02 Information Ratio 0.478 Tracking Error 0.141 Treynor Ratio 1.514 Total Fees $367.06 |
class BasicTemplateAlgorithm(QCAlgorithm):
target_portfolio = {'SPY': 0.6, 'TLT': 0.2, 'VTI': 0.2}
def Initialize(self):
self.SetStartDate(2007, 1, 1) #Set Start Date
self.SetEndDate(2018, 8, 1) #Set End Date
self.SetCash(100000) #Set Strategy Cash
for symbol in self.target_portfolio.keys():
self.AddEquity(symbol, Resolution.Daily)
self.Schedule.On(self.DateRules.MonthStart("SPY"),
self.TimeRules.BeforeMarketClose("SPY", 45),
self.rebalance)
def rebalance(self):
for key, value in self.target_portfolio.items():
self.SetHoldings(key, value)