| Overall Statistics |
|
Total Trades 2 Average Win 2.15% Average Loss 0% Compounding Annual Return 4.320% Drawdown 0.700% Expectancy 0 Net Profit 2.154% Sharpe Ratio 1.599 Probabilistic Sharpe Ratio 69.080% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0.036 Beta -0.001 Annual Standard Deviation 0.022 Annual Variance 0.001 Information Ratio 0.037 Tracking Error 0.414 Treynor Ratio -39.99 Total Fees $3.10 |
class DynamicHorizontalAutosequencers(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019, 12, 30) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.SetExecution(ImmediateExecutionModel())
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(lambda time: None))
symbols = [ Symbol.Create("SPY", SecurityType.Equity, Market.USA) ]
self.SetUniverseSelection( ManualUniverseSelectionModel(symbols) )
self.UniverseSettings.Resolution = Resolution.Daily
self.AddAlpha(MyAlphaModel(symbols[0]))
class MyAlphaModel(AlphaModel):
def __init__(self, symbol):
self.symbol = symbol
self.calls = 0
def Update(self, algorithm, slice):
if not slice.ContainsKey("SPY"):
return []
self.calls += 1
if self.calls == 1:
return [Insight.Price("SPY", timedelta(days=30), InsightDirection.Up)]
if self.calls == 10:
#algorithm.Liquidate(self.symbol)
return [Insight.Price("SPY", timedelta(days=30), InsightDirection.Flat)]
return []