Overall Statistics |
Total Trades
46
Average Win
9.36%
Average Loss
-8.57%
Compounding Annual Return
4.842%
Drawdown
36.600%
Expectancy
0.636
Net Profit
208.871%
Sharpe Ratio
0.351
Probabilistic Sharpe Ratio
0.006%
Loss Rate
22%
Win Rate
78%
Profit-Loss Ratio
1.09
Alpha
0.01
Beta
0.498
Annual Standard Deviation
0.114
Annual Variance
0.013
Information Ratio
-0.179
Tracking Error
0.114
Treynor Ratio
0.08
Total Fees
$277.81
Estimated Strategy Capacity
$630000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
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# https://quantpedia.com/strategies/market-seasonality-effect-in-world-equity-indexes/ # # Be invested in global equity markets during November – April period, stay in cash during May-October period (alternatively go # long in stocks from countries from northern hemisphere during winter period and long in stocks from countries from southern hemisphere # during summer period; alternatively go long in cyclical companies during winter period and short defensive stocks and switch positions # during the summer period) from AlgorithmImports import * class SeasonalityInEquitiesAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(1999, 1, 1) self.SetCash(100000) self.AddEquity("SPY", Resolution.Daily) self.AddEquity("SHY", Resolution.Daily) self.Schedule.On(self.DateRules.MonthStart("SPY"), self.TimeRules.AfterMarketOpen("SPY"), self.Rebalance) def Rebalance(self): if self.Time.month == 5: self.Liquidate("SPY") if self.Time.month == 11: self.SetHoldings("SPY", 1)