| 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)