Overall Statistics |
Total Trades 119 Average Win 0.04% Average Loss -0.05% Compounding Annual Return -8.711% Drawdown 6.000% Expectancy -0.158 Net Profit -4.504% Sharpe Ratio -1.279 Probabilistic Sharpe Ratio 2.810% Loss Rate 54% Win Rate 46% Profit-Loss Ratio 0.84 Alpha 0.008 Beta -0.449 Annual Standard Deviation 0.043 Annual Variance 0.002 Information Ratio -1.43 Tracking Error 0.137 Treynor Ratio 0.123 Total Fees $119.00 Estimated Strategy Capacity $8600000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
class MuscularSkyBlueLlama(QCAlgorithm): def Initialize(self): self.SetStartDate(2021, 6, 1) # Set Start Date self.SetCash(100000) # Set Strategy Cash self.AddEquity("SPY", Resolution.Minute) def OnData(self, data): '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. Arguments: data: Slice object keyed by symbol containing the stock data ''' if not self.Securities["SPY"].Invested: self.MarketOrder("SPY",100) self.LimitOrder("SPY", -100, data["SPY"].Close*1.001) self.StopMarketOrder("SPY", -100, data["SPY"].Close*0.999) def OnOrderEvent(self, orderEvent): order = self.Transactions.GetOrderById(orderEvent.OrderId) if order.Status == OrderStatus.Filled: if order.Type == OrderType.Limit or order.Type == OrderType.Limit: self.Transactions.CancelOpenOrders(order.Symbol)