| Overall Statistics |
|
Total Trades 4 Average Win 0.51% Average Loss 0% Compounding Annual Return 2.045% Drawdown 1.600% Expectancy 0 Net Profit 1.020% Sharpe Ratio 0.572 Probabilistic Sharpe Ratio 37.290% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0.015 Beta 0.008 Annual Standard Deviation 0.031 Annual Variance 0.001 Information Ratio -2.029 Tracking Error 0.125 Treynor Ratio 2.261 Total Fees $4.00 Estimated Strategy Capacity $650000000.00 Lowest Capacity Asset AMZN R735QTJ8XC9X |
class CalmOrangeMosquito(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 12, 8)
self.SetCash(100000)
self.AddAlpha(MyAlpha())
self.Settings.RebalancePortfolioOnSecurityChanges = False
self.AddUniverse(self.coarse)
self.UniverseSettings.Resolution = Resolution.Daily
self.SetPortfolioConstruction( EqualWeightingPortfolioConstructionModel(lambda time: None) )
self.SetExecution( ImmediateExecutionModel() )
tickers = ['SPY', 'AMZN']
self.symbols = [Symbol.Create(ticker, SecurityType.Equity, Market.USA) for ticker in tickers]
self.calls = 0
def coarse(self, coarse):
self.calls += 1
if self.calls == 1:
return self.symbols
return self.symbols[:1]
class MyAlpha(AlphaModel):
symbols = []
emitted = False
def Update(self, algorithm, data):
if self.emitted:
return []
self.emitted = True
return [Insight.Price(symbol, timedelta(days=10), InsightDirection.Up) for symbol in self.symbols]
def OnSecuritiesChanged(self, algorithm, changes):
for security in changes.AddedSecurities:
self.symbols.append(security.Symbol)
for security in changes.RemovedSecurities:
algorithm.Debug(f"Removed {security.Symbol}")