| Overall Statistics |
|
Total Trades 30 Average Win 0.38% Average Loss -0.56% Compounding Annual Return 3.020% Drawdown 2.400% Expectancy 0.119 Net Profit 0.980% Sharpe Ratio 0.759 Probabilistic Sharpe Ratio 44.722% Loss Rate 33% Win Rate 67% Profit-Loss Ratio 0.68 Alpha -0.015 Beta 0.107 Annual Standard Deviation 0.041 Annual Variance 0.002 Information Ratio -2.958 Tracking Error 0.135 Treynor Ratio 0.291 Total Fees $381.44 Estimated Strategy Capacity $240000000.00 |
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from QuantConnect.Data.Market import TradeBar
class RollingWindowAlgorithm(QCAlgorithm):
def Initialize(self):
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
self.SetStartDate(2021,1,1) #Set Start Date
self.SetCash(1000000) #Set Strategy Cash
self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol#,Market.GDAX).Symbol
#################################
self.SetBrokerageModel(BrokerageName.AlphaStreams)
#####################################################
self.Schedule.On(self.DateRules.Every(DayOfWeek.Monday), self.TimeRules.AfterMarketOpen(self.symbol,1), self.Compra)
self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.BeforeMarketClose(self.symbol,1), self.Vende)
#########################################################################################
### ENTRY & EXIT ---------------------------------------------------------------------------------
def Compra(self):
if not self.Portfolio.Invested:
self.SetHoldings(self.symbol, 1)
def Vende(self):
if self.Portfolio.Invested:
self.Liquidate()