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)