Overall Statistics |
Total Trades 132 Average Win 1.58% Average Loss -1.26% Compounding Annual Return 4.356% Drawdown 11.400% Expectancy 0.299 Net Profit 26.448% Sharpe Ratio 0.549 Probabilistic Sharpe Ratio 13.571% Loss Rate 42% Win Rate 58% Profit-Loss Ratio 1.26 Alpha 0.02 Beta 0.21 Annual Standard Deviation 0.087 Annual Variance 0.007 Information Ratio -0.501 Tracking Error 0.166 Treynor Ratio 0.226 Total Fees $283.70 |
class UncoupledTransdimensionalRadiator(QCAlgorithm): def Initialize(self): self.SetStartDate(2015, 2, 20) # Set Start Date self.SetCash(100000) # Set Strategy Cash self.AddEquity('SPY', Resolution.Minute) self.Schedule.On(self.DateRules.MonthEnd('SPY'), self.TimeRules.AfterMarketOpen('SPY', 5), self.BuySpy) self.n_trading_days = 0 self.curr_day = -1 def OnData(self, data): if self.curr_day == self.Time.day: return self.curr_day = self.Time.day if self.Portfolio.Invested: self.n_trading_days += 1 if self.n_trading_days == 5: self.n_trading_days = 0 self.Liquidate('SPY') def BuySpy(self): self.SetHoldings('SPY', 1.0)