| Overall Statistics |
|
Total Trades 5 Average Win 0% Average Loss -0.01% Compounding Annual Return -0.282% Drawdown 0.000% Expectancy -1 Net Profit -0.007% Sharpe Ratio -2.748 Probabilistic Sharpe Ratio 26.252% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.003 Beta 0.003 Annual Standard Deviation 0.001 Annual Variance 0 Information Ratio -4.942 Tracking Error 0.092 Treynor Ratio -0.431 Total Fees $5.00 Estimated Strategy Capacity $2800000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 0.24% |
# region imports
from AlgorithmImports import *
# endregion
class TrailingStopOrderAlgorithm(QCAlgorithm):
trailingAmount = 0.01
def Initialize(self):
self.SetStartDate(2021, 7, 1)
self.SetEndDate(2021, 7, 9)
self.SetCash(100000)
self.symbol = self.AddEquity("SPY", dataNormalizationMode = DataNormalizationMode.Raw).Symbol
def OnData(self, data):
if not self.Portfolio.Invested:
quantity = 1 if self.Time.day % 2 == 0 else -1
self.MarketOrder(self.symbol, quantity)
self.TrailingStopOrder(self.symbol, -quantity, self.trailingAmount, True)