| Overall Statistics |
|
Total Trades 2 Average Win 0% Average Loss -0.97% Compounding Annual Return -1.672% Drawdown 1.300% Expectancy -1 Net Profit -0.970% Sharpe Ratio -1.663 Probabilistic Sharpe Ratio 0.000% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.018 Beta 0 Annual Standard Deviation 0.011 Annual Variance 0 Information Ratio -0.279 Tracking Error 0.387 Treynor Ratio -51.837 Total Fees $3.11 |
from Execution.ImmediateExecutionModel import ImmediateExecutionModel
from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
from Alphas.ConstantAlphaModel import ConstantAlphaModel
class QuantumVentralAutosequencers(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 1, 2) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
# self.AddEquity("SPY", Resolution.Minute)
self.SetExecution(ImmediateExecutionModel())
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
self.AddAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(10)))
self.AddUniverse(self.SelectCoarse)
self.x = 1
def SelectCoarse(self, coarse):
if self.x == 1 or self.x == 2:
self.x += 1
return [Symbol.Create("SPY", SecurityType.Equity, Market.USA)]
return []