| Overall Statistics |
|
Total Orders 6 Average Win 0% Average Loss -0.01% Compounding Annual Return -0.316% Drawdown 0.000% Expectancy -1 Start Equity 100000 End Equity 99992.48 Net Profit -0.008% Sharpe Ratio -7.861 Sortino Ratio -9.861 Probabilistic Sharpe Ratio 24.012% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.006 Beta 0.003 Annual Standard Deviation 0.001 Annual Variance 0 Information Ratio -4.945 Tracking Error 0.092 Treynor Ratio -1.307 Total Fees $5.00 Estimated Strategy Capacity $2900000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 0.24% |
# region imports
from AlgorithmImports import *
# endregion
class HipsterYellowGreenHippopotamus(QCAlgorithm):
def initialize(self):
self.set_start_date(2021, 7, 1)
self.set_end_date(2021, 7, 9)
self.set_cash(100000)
self.universe_settings.data_normalization_mode = DataNormalizationMode.RAW
self.add_equity("SPY")
def on_data(self, data):
if not self.portfolio.invested:
quantity = 1
factor = 0.99
if self.time.day % 2 != 0:
quantity = -1
factor = 1.01
self.market_order("SPY", quantity)
self.stop_market_order("SPY", -quantity, data["SPY"].close * factor)