| Overall Statistics |
|
Total Trades 644 Average Win 1.01% Average Loss -1.11% Compounding Annual Return 14.789% Drawdown 16.300% Expectancy 0.117 Net Profit 49.264% Sharpe Ratio 0.901 Probabilistic Sharpe Ratio 38.404% Loss Rate 42% Win Rate 58% Profit-Loss Ratio 0.91 Alpha 0.05 Beta 0.547 Annual Standard Deviation 0.12 Annual Variance 0.014 Information Ratio 0.026 Tracking Error 0.109 Treynor Ratio 0.197 Total Fees $1138.10 Estimated Strategy Capacity $1200000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 60.56% |
#region imports
from AlgorithmImports import *
#endregion
class MultidimensionalDynamicComputer(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 4, 20) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.AddEquity("SPY", Resolution.Daily, dataNormalizationMode=DataNormalizationMode.SplitAdjusted)
self.BuyIn = 0.0
def OnData(self, data):
CurrentPrice = self.Securities["SPY"].Price
if not self.Portfolio.Invested:
self.BuyIn = CurrentPrice
self.SetHoldings("SPY", 1) # A market buy
return
if CurrentPrice > self.BuyIn+1 or CurrentPrice < self.BuyIn-1:
self.SetHoldings("SPY", 0)
return