Overall Statistics
Total Trades
538
Average Win
0.03%
Average Loss
0.00%
Compounding Annual Return
81.499%
Drawdown
0.800%
Expectancy
1.676
Net Profit
0.655%
Sharpe Ratio
7.937
Loss Rate
81%
Win Rate
19%
Profit-Loss Ratio
13.07
Alpha
-0.413
Beta
59.842
Annual Standard Deviation
0.052
Annual Variance
0.003
Information Ratio
7.758
Tracking Error
0.051
Treynor Ratio
0.007
Total Fees
$538.86
 
class BasicTemplateFrameworkAlgorithm(QCAlgorithmFramework):

    def Initialize(self):

        # Set requested data resolution
        self.UniverseSettings.Resolution = Resolution.Minute

        self.SetStartDate(2018, 3, 16)   #Set Start Date
        self.SetEndDate(2018, 3, 19)    #Set End Date
        self.SetCash(100000)           #Set Strategy Cash
        self.SetUniverseSelection(QC500UniverseSelectionModel())
        self.SetAlpha(RsiAlphaModel(60, Resolution.Minute))
        
        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
        
        self.SetExecution(VolumeWeightedAveragePriceExecutionModel())
        
        self.SetRiskManagement(MaximumSectorExposureRiskManagementModel())
        

    def OnOrderEvent(self, orderEvent):
        if orderEvent.Status == OrderStatus.Filled:
            pass