Overall Statistics |
Total Trades 3911 Average Win 0.47% Average Loss -0.63% Compounding Annual Return 5.541% Drawdown 57.300% Expectancy 0.100 Net Profit 194.290% Sharpe Ratio 0.483 Probabilistic Sharpe Ratio 0.906% Loss Rate 37% Win Rate 63% Profit-Loss Ratio 0.75 Alpha 0.037 Beta 0.352 Annual Standard Deviation 0.135 Annual Variance 0.018 Information Ratio -0.081 Tracking Error 0.172 Treynor Ratio 0.185 Total Fees $26410502.63 |
class VentralParticlePrism(QCAlgorithm): def Initialize(self): self.SetStartDate(2000, 7, 22) # Set Start Date self.SetEndDate(2020, 7, 22) self.SetCash(250000000) # Set Strategy Cash self.UniverseSettings.Resolution = Resolution.Daily self.AddEquity("QQQ", Resolution.Minute) self.AddEquity("TQQQ", Resolution.Minute) self.AddEquity("UVXY", Resolution.Minute) self.AddEquity("TLT", Resolution.Minute) self.vma = self.SMA("QQQ", 365, Resolution.Daily, Field.Volume) self.vmaSlope = MomentumPercent(12) self.BuyThreshold = ((self.vma.Current.Value)*(-0.123))*100 self.SellThreshold = ((self.vma.Current.Value)*(-0.1))*100 self.Schedule.On( self.DateRules.EveryDay("QQQ"), self.TimeRules.AfterMarketOpen("QQQ", 7), self.Derp) #Whenever I raise the number of minutes to anything over 10, #it buys and sells once every single trading day throughout #the entire backtest. I don't understand this at all. self.SetWarmup(365) def OnData(self, data): if self.IsWarmingUp: return self.vmaSlope.Update(self.Time, self.vma.Current.Value) def Derp(self): if not self.vmaSlope.IsReady: return if (self.vmaSlope.Current.Value >= self.SellThreshold): self.Liquidate("QQQ") self.SetHoldings("UVXY", 0) self.SetHoldings("TLT", 0.01) if not self.Securities["QQQ"].Invested: if self.vmaSlope.Current.Value <= self.BuyThreshold: self.SetHoldings("TLT", 0) self.SetHoldings("QQQ", 1) self.SetHoldings("UVXY", 0) #self.Short == False #self.Long == True #if self.vmaSlope.Current.Value >= self.SellThreshold: # self.Liquidate("TQQQ") # self.Liquidate("QQQ") #self.Long == False #self.Short == True #self.market or limit order for UVXY equal to 10% of total portfolio value #def GimmeHedge(self): #if not self.vmaSlope.IsReady: #return #if self.Short == True: #self.SetHoldings("UVXY", 0.15)