| Overall Statistics |
|
Total Orders 1 Average Win 0% Average Loss 0% Compounding Annual Return 17.182% Drawdown 33.700% Expectancy 0 Start Equity 1000000 End Equity 2588851.60 Net Profit 158.885% Sharpe Ratio 0.646 Sortino Ratio 0.649 Probabilistic Sharpe Ratio 24.525% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0 Beta 0.998 Annual Standard Deviation 0.164 Annual Variance 0.027 Information Ratio -0.848 Tracking Error 0 Treynor Ratio 0.106 Total Fees $22.07 Estimated Strategy Capacity $74000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 0.05% |
# region imports from AlgorithmImports import * from scipy.optimize import minimize from hmmlearn.hmm import GMMHMM # endregion class DrawdownRegimeGoldHedgeAlgorithm(QCAlgorithm): def initialize(self) -> None: self.set_end_date(2025, 1, 1) self.set_start_date(self.end_date - timedelta(6*365)) self.set_cash(1000000) # Request SPY as market representative for trading. self.spy = self.add_equity("SPY", Resolution.MINUTE).symbol def on_data(self, slice): self.set_holdings(self.spy, 1)
