| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 0.147% Drawdown 1.100% Expectancy 0 Net Profit 3.177% Sharpe Ratio 0.48 Probabilistic Sharpe Ratio 0.514% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.001 Beta -0.001 Annual Standard Deviation 0.003 Annual Variance 0 Information Ratio -0.411 Tracking Error 0.177 Treynor Ratio -0.943 Total Fees $1.00 Estimated Strategy Capacity $17000000000.00 |
import numpy as np
class RollingWindowAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2000,1,1) #Set Start Date
#self.SetEndDate(2020,12,31) #Set End Date
self.SetCash(10000) #Set Strategy Cash
self.symbol = self.AddEquity('SPY', Resolution.Daily).Symbol
#################################
self.SetBrokerageModel(BrokerageName.AlphaStreams,AccountType.Margin)
#####################################################
#########################################################################################
# monthly----
self.Schedule.On(self.DateRules.MonthStart("SPY"), \
self.TimeRules.AfterMarketOpen("SPY"), \
self.Rebalance)
self.weight= 0
def Rebalance(self):
self.weight = self.weight + 0.0001
self.SetHoldings(self.symbol,self.weight)
if self.Portfolio.Invested:
self.Plot("Exposure", "BUY% ", 100*self.Portfolio.TotalHoldingsValue/self.Portfolio.TotalPortfolioValue)
self.Plot("Exposure", "Weight", self.weight*100)