Overall Statistics
Total Trades
40
Average Win
8.21%
Average Loss
-10.07%
Compounding Annual Return
5.070%
Drawdown
36.700%
Expectancy
0.543
Net Profit
173.535%
Sharpe Ratio
0.447
Loss Rate
15%
Win Rate
85%
Profit-Loss Ratio
0.82
Alpha
0.1
Beta
-2.204
Annual Standard Deviation
0.127
Annual Variance
0.016
Information Ratio
0.292
Tracking Error
0.127
Treynor Ratio
-0.026
Total Fees
$237.80
 
  
class SeasonalityInEquitiesAlgorithm(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(1999, 1, 1)  
        self.SetEndDate(2019, 5, 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)
        self.startPrice = None
        
    def Rebalance(self):
        if self.Time.month == 5:
            self.Liquidate("SPY")
        if self.Time.month == 11:
            self.SetHoldings("SPY", 1)