| Overall Statistics |
|
Total Trades 2 Average Win 0% Average Loss 0% Compounding Annual Return 9.617% Drawdown 7.800% Expectancy 0 Net Profit 9.562% Sharpe Ratio 0.648 Probabilistic Sharpe Ratio 32.729% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.116 Beta 1.266 Annual Standard Deviation 0.111 Annual Variance 0.012 Information Ratio -0.877 Tracking Error 0.087 Treynor Ratio 0.057 Total Fees $105.68 Estimated Strategy Capacity $26000000.00 Lowest Capacity Asset MWD R735QTJ8XC9X |
# region imports
from AlgorithmImports import *
# endregion
class SquareGreenRhinoceros(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2017, 1, 1) # Set Start Date
self.SetEndDate(2018, 1, 1) # Set Start Date
self.SetCash(1000000) # Set Strategy Cash
ms = self.AddEquity("MS", Resolution.Daily).Symbol
xom = self.AddEquity("XOM", Resolution.Daily).Symbol
spy = self.AddEquity("SPY", Resolution.Daily).Symbol
self.series = {}
self.InitChart('MS')
self.InitChart('XOM')
self.InitChart('SPY')
self.ind = {}
self.InitIndicators(ms.Value, 5)
self.InitIndicators(xom.Value, 5)
self.InitIndicators(spy.Value, 5)
def InitChart(self, name):
chart = Chart(name + ' Stats')
self.AddChart(chart)
self.series[name + ' SharpRatio'] = Series(name + ' SharpRatio', SeriesType.Line, 'r/v', Color.Blue)
# The log return are in reality the logarithmic of compound returns
# which by logarithmic propieties end up being the substraction
# of the logarithm on current price minus price on day cero for a given period
self.series[name + ' Log Return'] = Series(name + ' Log Return', SeriesType.Line, '', Color.Green)
self.series[name + ' STD'] = Series(name + ' STD', SeriesType.Line, '', Color.Red)
chart.AddSeries(self.series[name + ' SharpRatio'])
chart.AddSeries(self.series[name + ' Log Return'])
chart.AddSeries(self.series[name + ' STD'])
def InitIndicators(self, symbol, period):
# Create indicators
self.ind[symbol+'_logr'] = LogReturn(symbol+'_logr',period)
self.RegisterIndicator(symbol, self.ind[symbol+'_logr'], Resolution.Daily)
self.ind[symbol+'_sr'] = SharpeRatio(symbol+'_sr',period, 0)
self.RegisterIndicator(symbol, self.ind[symbol+'_sr'], Resolution.Daily)
self.ind[symbol+'_std'] = StandardDeviation(symbol+'_std',period)
self.RegisterIndicator(symbol, self.ind[symbol+'_std'], Resolution.Daily)
self.logr = self.LOGR(symbol, 1)
def OnData(self, data: Slice):
if not self.Portfolio.Invested:
self.SetHoldings("MS", self.GetParameter('w_ms'))
self.SetHoldings("XOM", self.GetParameter('w_xom'))
self.SetHoldings("SPY", self.GetParameter('w_spy'))
self.PlotPoints('MS')
self.PlotPoints('XOM')
self.PlotPoints('SPY')
def PlotPoints(self, symbol):
self.series[symbol + ' Log Return'].AddPoint(self.Time,self.ind[symbol+'_logr'].Current.Value)
self.series[symbol + ' SharpRatio'].AddPoint(self.Time,self.ind[symbol+'_sr'].Current.Value)
self.series[symbol + ' STD'].AddPoint(self.Time,self.ind[symbol+'_std'].Current.Value)