| Overall Statistics |
|
Total Trades 4884 Average Win 0.06% Average Loss -0.01% Compounding Annual Return 13.684% Drawdown 20.900% Expectancy 4.189 Net Profit 340.589% Sharpe Ratio 1.188 Probabilistic Sharpe Ratio 67.375% Loss Rate 16% Win Rate 84% Profit-Loss Ratio 5.16 Alpha 0.043 Beta 0.555 Annual Standard Deviation 0.098 Annual Variance 0.01 Information Ratio -0.191 Tracking Error 0.084 Treynor Ratio 0.211 Total Fees $4884.00 Estimated Strategy Capacity $42000000.00 Lowest Capacity Asset TLT SGNKIKYGE9NP |
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from clr import AddReference
AddReference("QuantConnect.Common")
AddReference("QuantConnect.Algorithm.Framework")
from QuantConnect.Algorithm.Framework.Alphas import *
from Portfo