Overall Statistics
Total Trades
304
Average Win
0.92%
Average Loss
-0.21%
Compounding Annual Return
23.612%
Drawdown
13.400%
Expectancy
1.812
Net Profit
88.953%
Sharpe Ratio
1.492
Probabilistic Sharpe Ratio
77.704%
Loss Rate
47%
Win Rate
53%
Profit-Loss Ratio
4.31
Alpha
0.081
Beta
0.397
Annual Standard Deviation
0.11
Annual Variance
0.012
Information Ratio
-0.304
Tracking Error
0.148
Treynor Ratio
0.415
Total Fees
$922.92
Estimated Strategy Capacity
$12000000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
 
class CrawlingYellowGreenJackal(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2018, 1, 1)
        self.SetEndDate(2021, 1, 1)
        self.SetCash(100000)
        self.symbol = self.AddEquity("QQQ", Resolution.Hour).Symbol
        self.bnd = self.AddEquity("BND", Resolution.Hour).Symbol
        
        length = self.GetParameter("sma_length")
        length = 30 if length is None else int(length)
        
        self.sma = self.SMA(self.symbol, length, Resolution.Daily)
        
        # History warm up for shortcut helper SMA indicator
        closing_prices = self.History(self.symbol, length, Resolution.Daily)["close"]
        for time, price in closing_prices.loc[self.symbol].items():
            self.sma.Update(time, price)
        
        self.SetBenchmark(self.symbol)
        self.rebalanceTime = datetime.min
        self.uptrend = True
        
        self.Schedule.On(self.DateRules.EveryDay(self.symbol), \
                        self.TimeRules.BeforeMarketClose(self.symbol, 10), \
                        self.indicatorPlot)

    def OnData(self, data):
        if not self.sma.IsReady or self.symbol not in data or self.bnd not in data:
            return
        if self.symbol in data.Dividends and self.symbol not in data.Bars:
            self.Debug("Dividend paid at time "+str(self.Time))
            return
        
        trend = data[self.symbol].Price >= self.sma.Current.Value
        
        if self.Time >= self.rebalanceTime or trend != self.uptrend:
            self.trade(trend)


    def trade(self, trend):
        if trend:
            # uptrend
            self.SetHoldings(self.symbol, 0.8)
            self.SetHoldings(self.bnd, 0.2)
            self.uptrend = True
        else:
            # downtrend
            self.SetHoldings(self.symbol, 0.2)
            self.SetHoldings(self.bnd, 0.8)
            self.uptrend = False
        self.rebalanceTime = self.Time + timedelta(30)

    
    def indicatorPlot(self):
        self.Plot("Benchmark", "SMA", self.sma.Current.Value)