Overall Statistics
Total Trades
35
Average Win
0.43%
Average Loss
-0.42%
Compounding Annual Return
-0.942%
Drawdown
6.100%
Expectancy
-0.107
Net Profit
-0.478%
Sharpe Ratio
-0.08
Loss Rate
56%
Win Rate
44%
Profit-Loss Ratio
1.01
Alpha
-0.005
Beta
-0.002
Annual Standard Deviation
0.068
Annual Variance
0.005
Information Ratio
-0.677
Tracking Error
0.14
Treynor Ratio
3.359
Total Fees
$47.32
 
class ParticleOptimizedComputer(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 3, 3)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        
        # Universe Selection
        symbols = [Symbol.Create("SPY", SecurityType.Equity, Market.USA)]
        self.AddUniverseSelection(ManualUniverseSelectionModel(symbols))
        
        # Alpha Model
        self.AddAlpha(MacdAlphaModel(12, 26, 9, MovingAverageType.Simple, Resolution.Daily))
        
        # Portfolio Construction
        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
        
        # Execution
        self.SetExecution(ImmediateExecutionModel())
        
        # Risk Management
        self.AddRiskManagement(NullRiskManagementModel())