Overall Statistics |
Total Trades 4 Average Win 0% Average Loss -12.41% Compounding Annual Return -9.787% Drawdown 58.500% Expectancy -1 Net Profit -37.129% Sharpe Ratio -0.175 Probabilistic Sharpe Ratio 0.622% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.065 Beta 0.1 Annual Standard Deviation 0.295 Annual Variance 0.087 Information Ratio -0.537 Tracking Error 0.342 Treynor Ratio -0.516 Total Fees $311.09 |
class ParticleMultidimensionalCompensator(QCAlgorithm): def Initialize(self): self.SetStartDate(2015, 12, 29) self.SetCash(100000) symbols = [ Symbol.Create("DAG", SecurityType.Equity, Market.USA) ] self.SetUniverseSelection( ManualUniverseSelectionModel(symbols) ) self.AddAlpha(MyAlphaModel(symbols[0])) self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel()) self.SetExecution(ImmediateExecutionModel()) class MyAlphaModel(AlphaModel): def __init__(self, symbol): self.symbol = symbol self.security = None def Update(self, algorithm, slice): if algorithm.Securities.ContainsKey("DAG"): self.security = algorithm.Securities["DAG"] if algorithm.Portfolio.Invested or \ not slice.ContainsKey("DAG") or \ not algorithm.Securities.ContainsKey("DAG") or \ not self.security.IsTradable: return [] return [Insight.Price("DAG", timedelta(days=9999), InsightDirection.Up)] def OnSecuritiesChanged(self, algorithm, changes): pass