| Overall Statistics |
|
Total Orders 9 Average Win 0% Average Loss -1.29% Compounding Annual Return 6.671% Drawdown 6.100% Expectancy -1 Start Equity 1000000 End Equity 1049980.78 Net Profit 4.998% Sharpe Ratio -0.087 Sortino Ratio -0.064 Probabilistic Sharpe Ratio 35.363% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.015 Beta 0.166 Annual Standard Deviation 0.074 Annual Variance 0.005 Information Ratio -0.36 Tracking Error 0.165 Treynor Ratio -0.039 Total Fees $73.49 Estimated Strategy Capacity $1400000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 3.26% Drawdown Recovery 152 |
# region imports
from AlgorithmImports import *
# endregion
class QuantLeague(QCAlgorithm):
def initialize(self):
self.set_start_date(2020, 1, 1)
self.set_cash(1000000)
self.symbol = self.add_equity("SPY", Resolution.Daily).Symbol
self.fast_moving_average = self.sma(self.symbol, 50, Resolution.Daily)
self.last_action = None
def on_data(self, data):
# Ensure we have enough data to calculate the moving average
if not self.fast_moving_average.is_ready:
return
price = data[self.symbol].Close
# Buy if the price is above the moving average
if price > self.fast_moving_average.current.value:
if not self.portfolio.invested or self.last_action == "Sell":
self.set_holdings(self.symbol, 1)
self.last_action = "Buy"
# Sell if the price is below the moving average
elif price < self.fast_moving_average.current.value:
if self.portfolio.invested and self.last_action == "Buy":
self.liquidate(self.symbol)
self.last_action = "Sell"