| Overall Statistics |
|
Total Trades 149 Average Win 2.37% Average Loss -0.68% Compounding Annual Return 12.054% Drawdown 10.100% Expectancy 1.115 Net Profit 80.162% Sharpe Ratio 1.15 Probabilistic Sharpe Ratio 59.049% Loss Rate 53% Win Rate 47% Profit-Loss Ratio 3.46 Alpha 0.106 Beta -0.024 Annual Standard Deviation 0.089 Annual Variance 0.008 Information Ratio -0.264 Tracking Error 0.194 Treynor Ratio -4.25 Total Fees $317.13 Estimated Strategy Capacity $500000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
class LongMomentumSPY(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2016, 4, 14)
self.SetEndDate(2021, 6, 14)
self.SetCash(100000)
self.spy = self.AddEquity("SPY", Resolution.Daily)
self.SetBenchmark("SPY")
self.SetBrokerageModel(BrokerageName.AlphaStreams)
self.SetExecution(ImmediateExecutionModel())
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
symbols = [Symbol.Create("SPY", SecurityType.Equity, Market.USA)]
self.AddUniverseSelection(ManualUniverseSelectionModel(symbols))
self.spyMomentum = self.MOMP("SPY", 30, Resolution.Daily)
upthreshold = 0.6
# upthreshold = self.GetParameter("upthreshold")
self.AddAlpha(LongMomentumAlphaModel(self.spyMomentum, upthreshold))
def OnEndOfDay(self, symbol):
self.Log("Taking a position of " + str(self.Portfolio[symbol].Quantity) + " units of symbol " + str(symbol))
class LongMomentumAlphaModel(AlphaModel):
def __init__(self, spyMomentum, upthreshold):
self.period = timedelta(120)
self.spyMomentum = spyMomentum
self.upthreshold = upthreshold
def Update(self, algorithm, data):
insights = []
if data.Bars.ContainsKey("SPY"):
self.spyMomentum.Update(data["SPY"].EndTime, data["SPY"].Close)
if self.spyMomentum.IsReady:
if self.spyMomentum.Current.Value >= self.upthreshold:
insights.append(Insight("SPY", self.period, InsightType.Price, InsightDirection.Up, 1.0, None))
else:
insights.append(Insight("SPY", self.period, InsightType.Price, InsightDirection.Flat, 1.0, None))
return insights
def OnSecuritiesChanged(self, algorithm, changes):
self.changes = changes