| Overall Statistics |
|
Total Trades 159 Average Win 4.22% Average Loss -1.94% Compounding Annual Return 7.634% Drawdown 37.900% Expectancy 0.753 Net Profit 216.202% Sharpe Ratio 0.548 Probabilistic Sharpe Ratio 1.944% Loss Rate 45% Win Rate 55% Profit-Loss Ratio 2.18 Alpha 0.077 Beta -0.065 Annual Standard Deviation 0.129 Annual Variance 0.017 Information Ratio -0.082 Tracking Error 0.228 Treynor Ratio -1.083 Total Fees $1714.99 |
class TransdimensionalHorizontalAtmosphericScrubbers(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2005, 1, 1)
self.SetCash(100000)
self.UniverseSettings.Resolution = Resolution.Daily
symbols = [Symbol.Create("MCD", SecurityType.Equity, Market.USA)]
self.AddUniverseSelection(ManualUniverseSelectionModel(symbols))
self.AddAlpha(UnemploymentRateAlpha(self))
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
self.SetExecution(ImmediateExecutionModel())
self.AddRiskManagement(NullRiskManagementModel())
def OnData(self, data):
pass
# Algorithm framework model that produces insightsa
class UnemploymentRateAlpha:
def __init__(self, algorithm):
self.rate = algorithm.AddData(UNRATE, "UNRATE", Resolution.Daily, None, False, 1).Symbol
unemployment_history = algorithm.History([self.rate], timedelta(35))
unemployment_numbers = unemployment_history.loc[self.rate].value.dropna()
self.lastRate = unemployment_numbers.values[0]
def Update(self, algorithm, slice):
insights = []
if not slice.ContainsKey(self.rate):
return []
if slice[self.rate].Value < self.lastRate:
insights.append( Insight.Price("MCD", timedelta(days=22), InsightDirection.Up) )
self.lastRate = slice[self.rate].Value
return insights
def OnSecuritiesChanged(self, algorithm, changes):
pass
class UNRATE(PythonData):
def GetSource(self, config, date, isLiveMode):
return SubscriptionDataSource('https://raw.githubusercontent.com/shilewenuw/FileHost/master/UNRATE.csv', SubscriptionTransportMedium.RemoteFile)
def Reader(self, config, line, date, isLiveMode):
if not (line.strip() and line[0].isdigit()): return None
rate = UNRATE()
rate.Symbol = config.Symbol
data = line.split(',')
rate.Time = datetime.strptime(data[0], "%Y-%m-%d") + timedelta(days=31)
rate.Value = data[1]
return rate