| Overall Statistics |
|
Total Trades 90 Average Win 1.82% Average Loss -1.25% Compounding Annual Return 8.541% Drawdown 12.000% Expectancy 0.285 Net Profit 20.728% Sharpe Ratio 0.686 Probabilistic Sharpe Ratio 29.379% Loss Rate 48% Win Rate 52% Profit-Loss Ratio 1.46 Alpha 0.08 Beta -0.078 Annual Standard Deviation 0.111 Annual Variance 0.012 Information Ratio 0.092 Tracking Error 0.259 Treynor Ratio -0.976 Total Fees $90.00 |
class NadionHorizontalCircuit(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2018, 1, 2) # Set Start Date
self.SetCash(10000) # Set Strategy Cash
# self.AddEquity("SPY", Resolution.Minute)
self.ziv = self.AddEquity("SPY", Resolution.Daily)
self.ziv.SetDataNormalizationMode(DataNormalizationMode.Raw)
self.roc = self.ROC("SPY", 5, Resolution.Daily)
self.SetWarmUp(5)
def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
Arguments:
data: Slice object keyed by symbol containing the stock data
'''
if self.IsWarmingUp:
return
if self.roc.Current.Value > 0:
self.SetHoldings("SPY",1)
else:
self.Liquidate("SPY")class Volatility(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2018, 1, 2) # Set Start Date
self.SetCash(10000) # Set Strategy Cash
# self.AddEquity("SPY", Resolution.Minute)
self.ziv = self.AddEquity("ZIV", Resolution.Daily)
self.ziv.SetDataNormalizationMode(DataNormalizationMode.Raw)
self.roc = self.ROC("ZIV", 5, Resolution.Daily)
self.SetWarmUp(5)
def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
Arguments:
data: Slice object keyed by symbol containing the stock data
'''
if self.IsWarmingUp:
return
if self.roc.Current.Value > 0:
self.SetHoldings("ZIV",1)
else:
self.Liquidate("ZIV")