Overall Statistics
Total Trades
5
Average Win
0%
Average Loss
-5.11%
Compounding Annual Return
45.563%
Drawdown
20.900%
Expectancy
-1
Net Profit
21.209%
Sharpe Ratio
1.394
Probabilistic Sharpe Ratio
54.972%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.459
Beta
-0.143
Annual Standard Deviation
0.306
Annual Variance
0.094
Information Ratio
0.62
Tracking Error
0.325
Treynor Ratio
-2.977
Total Fees
$16.23
Estimated Strategy Capacity
$69000000.00
Lowest Capacity Asset
TQQQ UK280CGTCB51
 
class Bluesky(QCAlgorithm):
    def Initialize(self):
       
        self.SetStartDate(2021, 3, 21)  
        self.SetCash(100000)
        self.AddEquity("TQQQ", Resolution.Daily)
        self.SetWarmUp(150, Resolution.Daily)
        self.firstmacd = self.MACD("TQQQ", 12, 26, 9, MovingAverageType.Exponential, Resolution.Daily)
       

    def OnData(self, data):
        if self.IsWarmingUp or not (self.firstmacd.IsReady): 
            return
        if self.firstmacd.Current.Value>=0:
            self.SetHoldings("TQQQ", 1)
        elif self.firstmacd.Current.Value<0:
            self.SetHoldings("TQQQ", 0)