Overall Statistics |
Total Trades
563
Average Win
1.77%
Average Loss
-1.75%
Compounding Annual Return
3.063%
Drawdown
24.600%
Expectancy
0.159
Net Profit
103.308%
Sharpe Ratio
0.361
Probabilistic Sharpe Ratio
0.035%
Loss Rate
42%
Win Rate
58%
Profit-Loss Ratio
1.01
Alpha
0.029
Beta
-0.013
Annual Standard Deviation
0.078
Annual Variance
0.006
Information Ratio
-0.294
Tracking Error
0.195
Treynor Ratio
-2.179
Total Fees
$3509.23
Estimated Strategy Capacity
$490000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
|
# https://quantpedia.com/strategies/turn-of-the-month-in-equity-indexes/ # # Buy SPY ETF 1 day (some papers say 4 days) before the end of the month and sell the 3rd trading day of the new month at the close. class TurnoftheMonthinEquityIndexes(QCAlgorithm): def Initialize(self): self.SetStartDate(1998, 1, 1) self.SetCash(100000) self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.sell_flag = False self.days = 0 self.Schedule.On(self.DateRules.MonthStart(self.symbol), self.TimeRules.AfterMarketOpen(self.symbol), self.Rebalance) self.Schedule.On(self.DateRules.MonthEnd(self.symbol), self.TimeRules.AfterMarketOpen(self.symbol), self.Purchase) def Purchase(self): self.SetHoldings(self.symbol, 1) def Rebalance(self): self.sell_flag = True def OnData(self, data): if self.sell_flag: self.days += 1 if self.days == 3: self.Liquidate(self.symbol) self.sell_flag = False self.days = 0