Overall Statistics |
Total Trades 13 Average Win 0% Average Loss -0.02% Compounding Annual Return 9.679% Drawdown 0.200% Expectancy -1 Net Profit 0.908% Sharpe Ratio 4.91 Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.086 Beta 0.072 Annual Standard Deviation 0.018 Annual Variance 0 Information Ratio 3.868 Tracking Error 0.018 Treynor Ratio 1.214 Total Fees $13.00 |
import numpy as np from decimal import Decimal class BasicTemplateAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2013,10, 7) self.SetEndDate(2013,11,11) self.SetCash(100000) self.AddEquity("SPY", Resolution.Hour) def OnData(self, data): if not self.Portfolio.Invested: self.LimitOrder("SPY", 20, self.Securities["SPY"].Price*Decimal(0.99)) self.StopMarketOrder("SPY", -20, self.Securities["SPY"].Price*Decimal(0.98))