| Overall Statistics |
|
Total Trades 9 Average Win 0% Average Loss -0.05% Compounding Annual Return -23.552% Drawdown 2.600% Expectancy -1 Net Profit -2.039% Sharpe Ratio -5.879 Probabilistic Sharpe Ratio 3.290% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.201 Beta 0.066 Annual Standard Deviation 0.041 Annual Variance 0.002 Information Ratio 1.467 Tracking Error 0.223 Treynor Ratio -3.627 Total Fees $9.00 Estimated Strategy Capacity $7500000.00 Lowest Capacity Asset GOOG T1AZ164W5VTX |
STOCKS = ['GOOGL','FB']
class DeterminedApricotJackal(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2008, 1, 3) # Set Start Date
self.SetEndDate(2008, 1, 30) # Set End Date
self.SetCash(100000) # Set Strategy Cash
# self.AddEquity("SPY", Resolution.Minute)
self.SetWarmUp(timedelta(350))
res = Resolution.Minute
self.STOCKS = [self.AddEquity(ticker, Resolution.Minute).Symbol for ticker in STOCKS]
self.MKT = self.STOCKS[0]
self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen(self.MKT, 140), self.daily_check)
def daily_check(self):
hist = self.History(self.MKT, 50 + 10, Resolution.Daily)
for sec in self.STOCKS:
if self.Securities[sec].IsTradable:
self.SetHoldings(sec, 0.1)