| Overall Statistics |
|
Total Trades 132 Average Win 1.58% Average Loss -1.26% Compounding Annual Return 4.356% Drawdown 11.400% Expectancy 0.299 Net Profit 26.448% Sharpe Ratio 0.549 Probabilistic Sharpe Ratio 13.571% Loss Rate 42% Win Rate 58% Profit-Loss Ratio 1.26 Alpha 0.02 Beta 0.21 Annual Standard Deviation 0.087 Annual Variance 0.007 Information Ratio -0.501 Tracking Error 0.166 Treynor Ratio 0.226 Total Fees $283.70 |
class UncoupledTransdimensionalRadiator(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2015, 2, 20) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.AddEquity('SPY', Resolution.Minute)
self.Schedule.On(self.DateRules.MonthEnd('SPY'), self.TimeRules.AfterMarketOpen('SPY', 5), self.BuySpy)
self.n_trading_days = 0
self.curr_day = -1
def OnData(self, data):
if self.curr_day == self.Time.day:
return
self.curr_day = self.Time.day
if self.Portfolio.Invested:
self.n_trading_days += 1
if self.n_trading_days == 5:
self.n_trading_days = 0
self.Liquidate('SPY')
def BuySpy(self):
self.SetHoldings('SPY', 1.0)