Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 42.756% Drawdown 8.100% Expectancy 0 Net Profit 19.384% Sharpe Ratio 2.927 Probabilistic Sharpe Ratio 82.888% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0.998 Annual Standard Deviation 0.159 Annual Variance 0.025 Information Ratio -3.618 Tracking Error 0 Treynor Ratio 0.466 Total Fees $1.51 Estimated Strategy Capacity $57000000.00 |
class MeasuredFluorescentOrangeJellyfish(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 9, 29) # Set Start Date self.SetCash(100000) # Set Strategy Cash self.AddEquity("SPY", Resolution.Hour) roc = self.ROC("SPY", 30) std = StandardDeviation("SPY", 30) self.stdROC = IndicatorExtensions.Of(roc, std) def OnData(self, data): if not self.Portfolio.Invested: self.SetHoldings("SPY", 1) def OnEndOfDay(self): self.Plot("Indicators", "Std-ROC", self.stdROC.Current.Value)