| Overall Statistics |
|
Total Trades 89 Average Win 2.25% Average Loss -1.54% Compounding Annual Return 10.071% Drawdown 12.800% Expectancy 0.232 Net Profit 24.678% Sharpe Ratio 0.803 Probabilistic Sharpe Ratio 35.710% Loss Rate 50% Win Rate 50% Profit-Loss Ratio 1.46 Alpha 0.092 Beta -0.054 Annual Standard Deviation 0.11 Annual Variance 0.012 Information Ratio 0.134 Tracking Error 0.255 Treynor Ratio -1.633 Total Fees $89.00 |
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.spy = self.AddEquity("SPY", Resolution.Daily)
self.spy.SetDataNormalizationMode(DataNormalizationMode.Raw)
self.roc = self.ROC("SPY", 5, Resolution.Daily)
self.SetWarmUp(timedelta(days = 5))
self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.BeforeMarketClose("SPY", 5), self.Rebalance)
def Rebalance(self):
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")