Overall Statistics |
Total Trades 563 Average Win 1.77% Average Loss -1.75% Compounding Annual Return 3.063% Drawdown 24.600% Expectancy 0.159 Net Profit 103.308% Sharpe Ratio 0.361 Probabilistic Sharpe Ratio 0.035% Loss Rate 42% Win Rate 58% Profit-Loss Ratio 1.01 Alpha 0.029 Beta -0.013 Annual Standard Deviation 0.078 Annual Variance 0.006 Information Ratio -0.294 Tracking Error 0.195 Treynor Ratio -2.179 Total Fees $3509.23 Estimated Strategy Capacity $490000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
# https://quantpedia.com/strategies/turn-of-the-month-in-equity-indexes/ # # Buy SPY ETF 1 day (some papers say 4 days) before the end of the month and sell the 3rd trading day of the new month at the close. class TurnoftheMonthinEquityIndexes(QCAlgorithm): def Initialize(self): self.SetStartDate(1998, 1, 1) self.SetCash(100000) self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.sell_flag = False self.days = 0 self.Schedule.On(self.DateRules.MonthStart(self.symbol), self.TimeRules.AfterMarketOpen(self.symbol), self.Rebalance) self.Schedule.On(self.DateRules.MonthEnd(self.symbol), self.TimeRules.AfterMarketOpen(self.symbol), self.Purchase) def Purchase(self): self.SetHoldings(self.symbol, 1) def Rebalance(self): self.sell_flag = True def OnData(self, data): if self.sell_flag: self.days += 1 if self.days == 3: self.Liquidate(self.symbol) self.sell_flag = False self.days = 0