| Overall Statistics |
|
Total Trades 5 Average Win 0% Average Loss -0.01% Compounding Annual Return -0.306% Drawdown 0.000% Expectancy -1 Net Profit -0.007% Sharpe Ratio -3.007 Probabilistic Sharpe Ratio 24.686% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.003 Beta 0.003 Annual Standard Deviation 0.001 Annual Variance 0 Information Ratio -4.943 Tracking Error 0.092 Treynor Ratio -0.509 Total Fees $5.00 Estimated Strategy Capacity $2900000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
# region imports
from AlgorithmImports import *
# endregion
class HipsterYellowGreenHippopotamus(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 7, 1)
self.SetEndDate(2021, 7, 9)
self.SetCash(100000)
self.UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw
self.AddEquity("SPY")
def OnData(self, data):
if not self.Portfolio.Invested:
quantity = 1
factor = 0.99
if self.Time.day % 2 != 0:
quantity = -1
factor = 1.01
self.MarketOrder("SPY", quantity)
self.StopMarketOrder("SPY", -quantity, data["SPY"].Close * factor)