Overall Statistics |
Total Trades 2392 Average Win 0.06% Average Loss -0.09% Compounding Annual Return 12.276% Drawdown 43.400% Expectancy 0.421 Net Profit 89.139% Sharpe Ratio 0.645 Probabilistic Sharpe Ratio 16.423% Loss Rate 17% Win Rate 83% Profit-Loss Ratio 0.72 Alpha 0.131 Beta -0.111 Annual Standard Deviation 0.185 Annual Variance 0.034 Information Ratio 0.042 Tracking Error 0.263 Treynor Ratio -1.073 Total Fees $2403.44 |
class DynamicOptimizedAutosequencers(QCAlgorithm): def Initialize(self): self.SetStartDate(2015, 2, 4) # Set Start Date self.SetCash(100000) # Set Strategy Cash self.AddEquity('UPRO', Resolution.Daily) self.AddEquity('LQD', Resolution.Daily) self.SetBenchmark('SPY') def OnData(self, data): self.SetHoldings('UPRO', .333) self.SetHoldings('LQD', .666)