| Overall Statistics |
|
Total Trades 46 Average Win 10.90% Average Loss -11.04% Compounding Annual Return 9.747% Drawdown 22.400% Expectancy 0.469 Net Profit 229.207% Sharpe Ratio 0.619 Probabilistic Sharpe Ratio 4.335% Loss Rate 26% Win Rate 74% Profit-Loss Ratio 0.99 Alpha 0.011 Beta 0.681 Annual Standard Deviation 0.12 Annual Variance 0.014 Information Ratio -0.224 Tracking Error 0.082 Treynor Ratio 0.109 Total Fees $202.74 Estimated Strategy Capacity $970000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
# region imports
from AlgorithmImports import *
# endregion
class spy_algo_1(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2010, 1, 1)
self.SetCash(100000)
spy = self.AddEquity("SPY", Resolution.Daily)
spy.SetDataNormalizationMode(DataNormalizationMode.Raw)
self.spy = spy.Symbol
self.SetBenchmark("SPY")
self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin)
self.EntryPrice = 0
self.period = timedelta(31)
self.nextEntryTime = self.Time
def OnData(self, data: Slice):
if not self.spy in data:
return
price = data[self.spy].Close
if not self.Portfolio.Invested:
if self.nextEntryTime <= self.Time:
# self.MarketOrder(self.spy, int(self.Portfolio.Cash / Price)
self.SetHoldings("SPY", 1)
self.Log("BUY SPY @" + str(price))
self.entryPrice = price
elif self.entryPrice * 1.1 < price or self.entryPrice * 0.9 > price:
self.Liquidate(self.spy)
self.Log("SELL SPY @" + str(price))
self.nextEntryTime = self.Time + self.period