| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 40.239% Drawdown 7.400% Expectancy 0 Net Profit 18.368% Sharpe Ratio 2.328 Probabilistic Sharpe Ratio 77.660% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.341 Beta -0.013 Annual Standard Deviation 0.144 Annual Variance 0.021 Information Ratio -0.009 Tracking Error 0.205 Treynor Ratio -26.231 Total Fees $1.50 Estimated Strategy Capacity $1000000000.00 |
import pickle
import numpy as np
class CreativeBlackBison(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 10, 1) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.AddEquity('SPY', Resolution.Daily)
self.portfolio_values = []
def OnData(self, data):
self.portfolio_values.append(self.Portfolio.TotalPortfolioValue)
if not self.Portfolio.Invested:
self.SetHoldings("SPY", 1)
def OnEndOfAlgorithm(self):
# DO CALCULATIONS HERE
self.Debug(f'mean portfolio value: {np.mean(self.portfolio_values)}')