Overall Statistics |
Total Trades 2 Average Win 0% Average Loss 0% Compounding Annual Return 111.817% Drawdown 3.400% Expectancy 0 Net Profit 4.987% Sharpe Ratio 8.742 Probabilistic Sharpe Ratio 95.052% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.094 Beta 1.366 Annual Standard Deviation 0.127 Annual Variance 0.016 Information Ratio 3.63 Tracking Error 0.063 Treynor Ratio 0.812 Total Fees $2.00 Estimated Strategy Capacity $2400000.00 Lowest Capacity Asset IGW S6BDJ8ONH2ZP |
class Example_Plot(QCAlgorithm): def Initialize(self): self.SetStartDate(2021, 10, 4) Today = datetime.now().date() TodayTime = datetime.now() self.Debug(f'{TodayTime} UTC_Time') self.SetEndDate(Today) #self.SetEndDate(2021, 10, 29) self.SetCash(100000) self.SetTimeZone("America/New_York") self.SetWarmUp(10, Resolution.Daily) self.Data = {} self.symbols = ["QQQ", "SOXX"] for ticker in self.symbols: security = self.AddEquity(ticker, Resolution.Minute) symbol = security.Symbol self.Data[symbol] = SymbolData(self, security, symbol) stockPlot = Chart(ticker) stockPlot.AddSeries(Series("Price", SeriesType.Line, 0)) self.AddChart(stockPlot) def OnData(self, data): for symbol in self.Data.keys(): SymbolData = self.Data[symbol] if (not self.Portfolio[symbol].Invested): self.SetHoldings(symbol, 1/len(self.symbols)) def OnEndOfDay(self, symbol): self.Debug(f'Plot {self.Time} {self.UtcTime}') if self.IsWarmingUp: return SymbolData = self.Data[symbol] if self.Time >= self.StartDate: self.Plot(symbol.Value, "Price", SymbolData.close.Current.Value) class SymbolData(object): def __init__(self, algorithm, security, symbol): self.algorithm = algorithm self.close = algorithm.SMA(symbol, 1, Resolution.Daily)