| Overall Statistics |
|
Total Trades 2725 Average Win 0.09% Average Loss -0.02% Compounding Annual Return 13.949% Drawdown 10.400% Expectancy 3.627 Net Profit 269.458% Sharpe Ratio 1.168 Probabilistic Sharpe Ratio 66.915% Loss Rate 15% Win Rate 85% Profit-Loss Ratio 4.46 Alpha 0.033 Beta 0.542 Annual Standard Deviation 0.084 Annual Variance 0.007 Information Ratio -0.303 Tracking Error 0.075 Treynor Ratio 0.181 Total Fees $2745.91 Estimated Strategy Capacity $41000.00 Lowest Capacity Asset VXZB WRBPJAJZ2Q91 |
import numpy as np
class spyVXXAlgo(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2012,1, 1) # Set Start Date
self.SetEndDate(2022,1,1) # Set End Date
self.SetCash(100000) # Set Strategy Cash
# Define the security universe
self.tickers = ["SPY","VXZ"]
for symbol in self.tickers:
self.AddEquity(symbol, Resolution.Daily)
def OnData(self, data):
# Rebalance portfolio daily
for symbol in self.tickers:
if symbol=="SPY":
self.SetHoldings(symbol,0.74)
else:
self.SetHoldings(symbol,0.25)