| Overall Statistics |
|
Total Trades 171 Average Win 3.12% Average Loss 0% Compounding Annual Return 40.852% Drawdown 4.900% Expectancy 0 Net Profit 18.560% Sharpe Ratio 3.531 Probabilistic Sharpe Ratio 90.912% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0.133 Beta 0.817 Annual Standard Deviation 0.12 Annual Variance 0.014 Information Ratio 1.216 Tracking Error 0.056 Treynor Ratio 0.519 Total Fees $172.77 Estimated Strategy Capacity $1700000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
class JumpingFluorescentYellowDolphin(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 1, 12)
self.SetCash(100000)
self.AddEquity("SPY", Resolution.Minute)
self.Schedule.On(self.DateRules.MonthStart("SPY"),
self.TimeRules.AfterMarketOpen("SPY"),
self.BuySpy)
self.Schedule.On(self.DateRules.MonthEnd("SPY"),
self.TimeRules.AfterMarketOpen("SPY"),
self.SellSpy)
def BuySpy(self):
max_num_per_batch = 10
q = int(self.CalculateOrderQuantity("SPY", 1.0))
n_groups = q // max_num_per_batch
remainder = q - n_groups*max_num_per_batch
for i in range(n_groups):
self.MarketOrder("SPY",max_num_per_batch)
self.MarketOrder("SPY",remainder)
def SellSpy(self):
self.Liquidate("SPY")
def OnData(self, data):
pass