| Overall Statistics |
|
Total Trades 136 Average Win 1.33% Average Loss -1.26% Compounding Annual Return 5.168% Drawdown 11.400% Expectancy 0.286 Net Profit 28.736% Sharpe Ratio 0.96 Probabilistic Sharpe Ratio 44.408% Loss Rate 37% Win Rate 63% Profit-Loss Ratio 1.05 Alpha 0.022 Beta 0.222 Annual Standard Deviation 0.056 Annual Variance 0.003 Information Ratio -0.582 Tracking Error 0.154 Treynor Ratio 0.24 Total Fees $136.00 |
class ParticleHorizontalPrism(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2015, 8, 18) # Set Start Date
self.SetCash(30000) # Set Strategy Cash
self.AddEquity("VOO", Resolution.Minute)
self.AddEquity("BOND", Resolution.Minute)
self.AddEquity("GLD", Resolution.Minute)
self.AddEquity("SCHA", Resolution.Minute)
self.AddEquity("MINT", Resolution.Minute)
self.tickers = ["VOO", "BOND", "MINT", "GLD", "SCHA"]
'''
Golden Butterfly fixed portfolio:
20% Total Stock Market
20% Small Cap Value
20% Long Term Bonds
20% Short Term Bonds
20% Gold
'''
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
self.lastmonth = -1
def OnData(self, data):
month = self.Time.month
if month == self.lastmonth:
return
self.lastmonth = month
#Golden Butterfly
for symbol in self.tickers:
if not self.Portfolio[symbol].Invested:
self.SetHoldings(symbol, 0.2)
if self.Securities[symbol].Invested and (self.Securities[symbol].Holdings.UnrealizedProfitPercent>0.04 or self.Securities[symbol].Holdings.UnrealizedProfitPercent<-0.02):
self.Liquidate(symbol)