Overall Statistics
Total Trades
1549
Average Win
0.03%
Average Loss
0.00%
Compounding Annual Return
6.718%
Drawdown
10.100%
Expectancy
737.579
Net Profit
55.799%
Sharpe Ratio
1.042
Probabilistic Sharpe Ratio
54.292%
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
738.42
Alpha
-0.001
Beta
0.497
Annual Standard Deviation
0.064
Annual Variance
0.004
Information Ratio
-1.086
Tracking Error
0.065
Treynor Ratio
0.134
Total Fees
$1568.00
 
from QuantConnect.Data.Custom.USEnergy import *


class Slow(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2013, 1, 1)  # Set Start Date
        self.SetCash(1000000)  # Set Strategy Cash
        
        # Universe
        self.tickerList = ["SPY","QQQ"]
        self.numTickers = len(self.tickerList)
        for i in range(self.numTickers):
            self.AddEquity(self.tickerList[i], Resolution.Daily)

        #self.inputIntoRefinery = self.AddData(USEnergy, USEnergy.Petroleum.UnitedStates.WeeklyGrossInputsIntoRefineries).Symbol
        #self.netImport = self.AddData(USEnergy, USEnergy.Petroleum.UnitedStates.WeeklyNetImportsOfCrudeOil).Symbol
        #self.stock = self.AddData(USEnergy, USEnergy.Petroleum.UnitedStates.WeeklyEndingStocksOfCrudeOil).Symbol
        
        self.SetBrokerageModel(AlphaStreamsBrokerageModel())
        

    def OnData(self, data):
        self.SetHoldings(self.tickerList[0], 0.5)