| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 17.290% Drawdown 16.600% Expectancy 0 Net Profit 27.278% Sharpe Ratio 0.543 Sortino Ratio 0.735 Probabilistic Sharpe Ratio 39.026% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0 Beta 0.993 Annual Standard Deviation 0.141 Annual Variance 0.02 Information Ratio -0.894 Tracking Error 0.001 Treynor Ratio 0.077 Total Fees $1.35 Estimated Strategy Capacity $500000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 0.18% |
# region imports
from AlgorithmImports import *
# endregion
class CustomBrokerageModelAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2022, 7, 1)
self.SetCash(100000)
self.SetBrokerageModel(MyBrokerageModel())
self.AddEquity("SPY", Resolution.Daily)
def OnData(self, data: Slice):
if not self.Portfolio.Invested:
self.SetHoldings("SPY", 1)
class MyBrokerageModel(DefaultBrokerageModel):
DefaultMarkets = {SecurityType.Equity: Market.USA}
RequiredFreeBuyingPowerPercent = 0
def __init__(self, accountType: AccountType = AccountType.Margin):
self.AccountType = accountType
def CanSubmitOrder(self, security: Security, order: Order,
message: BrokerageMessageEvent) -> bool:
return super().CanSubmitOrder(security, order, message)
def CanUpdateOrder(self, security: Security, order: Order,
request: UpdateOrderRequest, message: BrokerageMessageEvent) -> bool:
return super().CanUpdateOrder(security, order, request, message)
def CanExecuteOrder(self, security: Security, order: Order) -> bool:
return super().CanExecuteOrder(security, order)
def ApplySplit(self, tickets: List[OrderTicket], split: Split) -> None:
super().ApplySplit(tickets, split)
def GetLeverage(self, security: Security) -> float:
return super().GetLeverage(security)
def GetBenchmark(self, securities: SecurityManager) -> IBenchmark:
return super().GetBenchmark(securities)
def GetFillModel(self, security: Security) -> IFillModel:
return super().GetFillModel(security)
def GetFeeModel(self, security: Security) -> IFeeModel:
return super().GetFeeModel(security)
def GetSlippageModel(self, security: Security) -> ISlippageModel:
return super().GetSlippageModel(security)
def GetSettlementModel(self, security: Security) -> ISettlementModel:
return super().GetSettlementModel(security)
def GetBuyingPowerModel(self, security: Security) -> IBuyingPowerModel:
return super().GetBuyingPowerModel(security)
def GetMarginInterestRateModel(self, security: Security) -> IMarginInterestRateModel:
return super().GetMarginInterestRateModel(security)
def GetShortableProvider(self, security: Security) -> IShortableProvider:
return super().GetShortableProvider(security)