| Overall Statistics |
|
Total Trades 130 Average Win 1.43% Average Loss -0.61% Compounding Annual Return 21.427% Drawdown 13.400% Expectancy 1.409 Net Profit 79.132% Sharpe Ratio 1.505 Probabilistic Sharpe Ratio 75.778% Loss Rate 28% Win Rate 72% Profit-Loss Ratio 2.35 Alpha 0.187 Beta -0.041 Annual Standard Deviation 0.12 Annual Variance 0.014 Information Ratio 0.177 Tracking Error 0.246 Treynor Ratio -4.399 Total Fees $320.25 Estimated Strategy Capacity $71000000.00 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.spy = self.AddEquity("QQQ", Resolution.Daily).Symbol
self.bnd = self.AddEquity("BND", Resolution.Daily).Symbol
length = self.GetParameter("sma_length")
length = 30 if length is None else int(length)
self.sma = self.SMA(self.spy, length, Resolution.Daily)
self.rebalanceTime = datetime.min
self.uptrend = True
def OnData(self, data):
if not self.sma.IsReady:
return
if data.Bars.ContainsKey("QQQ") and data.Bars.ContainsKey("BND"):
if data.Bars[self.spy].Price >= self.sma.Current.Value:
# Either rebalance or rice has crossed above SMA
if self.Time >= self.rebalanceTime or not self.uptrend:
self.SetHoldings(self.spy, 0.8)
self.SetHoldings(self.bnd, 0.2)
self.uptrend = True
self.rebalanceTime = self.Time + timedelta(30)
# Either rebalance or price has crossed below SMA
elif self.Time >= self.rebalanceTime or self.uptrend:
self.SetHoldings(self.spy, 0.2)
self.SetHoldings(self.bnd, 0.8)
self.uptrend = False
self.rebalanceTime = self.Time + timedelta(30)
self.Plot("Benchmark", "SMA", self.sma.Current.Value)