Overall Statistics
Total Trades
7
Average Win
0.39%
Average Loss
0%
Compounding Annual Return
67.866%
Drawdown
0.100%
Expectancy
0
Net Profit
1.525%
Sharpe Ratio
12.871
Probabilistic Sharpe Ratio
100.000%
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
0.415
Beta
-0.046
Annual Standard Deviation
0.024
Annual Variance
0.001
Information Ratio
-20.68
Tracking Error
0.096
Treynor Ratio
-6.639
Total Fees
$91.83
 
from System.Drawing import Color

class VerticalTransdimensionalAutosequencers(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 2, 1)  # Set Start Date
        self.SetCash(1000000)  # Set Strategy Cash

        self.symbol = self.AddEquity("SPY", Resolution.Hour).Symbol
        self.EnableAutomaticIndicatorWarmUp = True
        self.ema = self.EMA(self.symbol, 10)

        # below is for fancy charting
        stockPlot = Chart('Custom')
        stockPlot.AddSeries(Series('long', SeriesType.Scatter, '$', Color.Green, ScatterMarkerSymbol.Triangle))
        stockPlot.AddSeries(Series('liquidate', SeriesType.Scatter, '$', Color.Red, ScatterMarkerSymbol.TriangleDown))
        self.AddChart(stockPlot)
        
    def OnData(self, data):
        if not (data.ContainsKey(self.symbol) and data[self.symbol] is not None):
            return
        
        price = data[self.symbol].Price
        
        if not self.Portfolio.Invested:
            if self.ema.Current.Value > price:
                self.SetHoldings(self.symbol, 1)
                self.Plot("Custom", "long", price)
        
        elif self.ema.Current.Value < price:
            self.Liquidate(self.symbol)
            self.Plot("Custom", "liquidate", price)