Overall Statistics
Total Trades
16
Average Win
0%
Average Loss
0%
Compounding Annual Return
19.091%
Drawdown
9.300%
Expectancy
0
Net Profit
17.057%
Sharpe Ratio
1.503
Probabilistic Sharpe Ratio
70.603%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.115
Beta
0.239
Annual Standard Deviation
0.12
Annual Variance
0.014
Information Ratio
-0.602
Tracking Error
0.152
Treynor Ratio
0.754
Total Fees
$16.00
 
import datetime

from datetime import timedelta

class BollingerBreakoutAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 1, 1)
        self.SetEndDate(2019, 11, 25)
        self.SetCash(100000) 
        self.AddEquity("UNH", Resolution.Daily)
        self.Securities["UNH"].Price
        self.bband = self.BB("UNH", 20, 2, MovingAverageType.Simple, Resolution.Daily)
        self.SetWarmUp(364, Resolution.Daily)
        self.SetBenchmark("SPY")
        self.ticket = None 
        self.period = timedelta(days=3)
        
    def OnData(self, data):
        if not (self.bband.IsReady): return
        price = self.Securities["UNH"].Price
        if price <= self.bband.LowerBand.Current.Value:
            self.MarketOrder("UNH", 20)
        
        if self.ticket is not None and self.UtcTime > (self.ticket.Time + self.period):
            self.Liquidate(self.ticket.Symbol)
            self.ticket = None
import datetime

from datetime import timedelta

class BollingerBreakoutAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 1, 1)
        self.SetEndDate(2019, 11, 25)
        self.SetCash(100000) 
        self.AddEquity("UNH", Resolution.Daily)
        self.Securities["UNH"].Price
        self.bband = self.BB("UNH", 20, 2, MovingAverageType.Simple, Resolution.Daily)
        self.SetWarmUp(364, Resolution.Daily)
        self.SetBenchmark("SPY")
        self.ticket = None 
        self.period = timedelta(days=3)
        
    def OnData(self, data):
        if not (self.bband.IsReady): return
        price = self.Securities["UNH"].Price
        if price <= self.bband.LowerBand.Current.Value:
            self.MarketOrder("UNH", 20)
            self.ticket
        
        if self.ticket is not None and (self.UtcTime > (self.ticket.Time + self.period)):
            self.Liquidate(self.ticket.Symbol)
            self.ticket = None