Overall Statistics |
Total Trades 37 Average Win 9.71% Average Loss -3.60% Compounding Annual Return 16.738% Drawdown 13.900% Expectancy 2.447 Net Profit 274.427% Sharpe Ratio 1.161 Loss Rate 7% Win Rate 93% Profit-Loss Ratio 2.69 Alpha 0.325 Beta -7.963 Annual Standard Deviation 0.142 Annual Variance 0.02 Information Ratio 1.02 Tracking Error 0.142 Treynor Ratio -0.021 Total Fees $111.17 |
class WorldCupSponsorship(QCAlgorithm): def Initialize(self): self.SetStartDate(2010, 1, 1) self.SetEndDate(2018, 7, 11) self.SetCash(100000) self.SetBenchmark("SPY") self.all_symbols = ["BUD","MCD","V","KO","MA","FOXA","DIS","NKE","SNE","JNJ","PG","PHG"] self.symbols = { 2018 : ["BUD","MCD","V","KO","MA","FOXA","NKE"], 2014 : ["BUD","MCD","V","KO","FOXA","NKE","SNE","JNJ"], 2010 : ["BUD","MCD","V","KO","DIS","NKE","SNE"], 2006 : ["YHOO","MCD","KO","DIS","NKE","PG","PHG"] } for symbol in self.all_symbols: self.AddEquity(symbol, Resolution.Hour) self.Schedule.On(self.DateRules.On(2010,5,14), self.TimeRules.At(10, 0), self.Rebalance) self.Schedule.On(self.DateRules.On(2014,5,14), self.TimeRules.At(10, 0), self.Rebalance) self.Schedule.On(self.DateRules.On(2018,5,14), self.TimeRules.At(10, 0), self.Rebalance) def Rebalance(self): self.Liquidate() comps = self.symbols[self.Time.year] weight = 1/(len(comps)) for symbol in comps: self.Debug(str(self.Time) + symbol) stock = self.Securities[symbol].Symbol self.SetHoldings(stock, weight) def OnData(self, data): pass