Overall Statistics
Total Trades
2020
Average Win
0.84%
Average Loss
-0.46%
Compounding Annual Return
29.218%
Drawdown
21.000%
Expectancy
0.164
Net Profit
148.291%
Sharpe Ratio
1.466
Probabilistic Sharpe Ratio
69.893%
Loss Rate
59%
Win Rate
41%
Profit-Loss Ratio
1.83
Alpha
0.34
Beta
-0.08
Annual Standard Deviation
0.222
Annual Variance
0.049
Information Ratio
0.412
Tracking Error
0.322
Treynor Ratio
-4.065
Total Fees
$2793.83
Estimated Strategy Capacity
$48000000.00
Lowest Capacity Asset
QQQ RIWIV7K5Z9LX
 
# Hma Algorithm LS

class HmaAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2018, 1, 1)
        self.SetCash(25000)
        self.qqq = self.AddEquity("QQQ", Resolution.Hour).Symbol
        self.hma = self.HMA(self.qqq, 12, Resolution.Hour)
        self.delayed_hma = IndicatorExtensions.Of(Delay(2), self.hma)
        self.SetWarmUp(30)
        
        
    def OnData(self, data):
        if not (self.qqq in data.Bars or self.hma.IsReady or self.delayed_hma.IsReady): return
    
        currentHma = self.hma.Current.Value
        previousHma = self.delayed_hma.Current.Value

        if currentHma > previousHma:
            self.SetHoldings(self.qqq,1)
            
        elif currentHma < previousHma:
            self.SetHoldings(self.qqq,-1)