| Overall Statistics |
|
Total Trades 2 Average Win 7.74% Average Loss 0% Compounding Annual Return 1.250% Drawdown 6.600% Expectancy 0 Net Profit 7.743% Sharpe Ratio 0.251 Probabilistic Sharpe Ratio 1.415% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0.003 Beta 0.065 Annual Standard Deviation 0.037 Annual Variance 0.001 Information Ratio -0.607 Tracking Error 0.147 Treynor Ratio 0.144 Total Fees $15.27 Estimated Strategy Capacity $15000000.00 Lowest Capacity Asset KO R735QTJ8XC9X |
# region imports
from AlgorithmImports import *
# endregion
class TimeInvested(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2015, 1, 1) # Set Start Date
self.SetEndDate(2021, 1, 1)
self.SetCash(100000) # Set Strategy Cash
self.AddEquity("KO", Resolution.Daily)
self.invest = True
def OnData(self, data: Slice):
if not self.Portfolio.Invested and self.invest:
self.SetHoldings("KO", 0.5)
self.invested_time = self.Time
#Liquidate after 1000 days
self.Log(self.Time - self.invested_time)
#self.Log(self.Portfolio['KO'].Price)
time_diff = (self.Time - self.invested_time).days
if time_diff > 1000:
self.Liquidate("KO")
self.invest = False