| Overall Statistics |
|
Total Trades 36641 Average Win 0.02% Average Loss 0.00% Compounding Annual Return 11.288% Drawdown 26.000% Expectancy 1.690 Net Profit 240.708% Sharpe Ratio 0.955 Probabilistic Sharpe Ratio 37.246% Loss Rate 37% Win Rate 63% Profit-Loss Ratio 3.26 Alpha 0.004 Beta 0.722 Annual Standard Deviation 0.125 Annual Variance 0.016 Information Ratio -0.748 Tracking Error 0.054 Treynor Ratio 0.166 Total Fees $36644.94 Estimated Strategy Capacity $2800000.00 Lowest Capacity Asset TLT SGNKIKYGE9NP |
class FocusedSkyBlueSalmon(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2010, 1, 1) # Set Start and End Date
self.SetEndDate(2021, 6, 15)
self.SetCash(100000) #Set Cash
self.SpySymbol = self.AddEquity("SPY", Resolution.Minute) #Request Data
self.TMFSymbol = self.AddEquity("TLT", Resolution.Minute)
Quandl.SetAuthCode("zkdoRxRXbAQdUxzXZKBy")
self.shiller = self.AddData(QuandlCustomColumns, "MULTPL/SHILLER_PE_RATIO_MONTH", Resolution.Daily, TimeZones.NewYork)
def OnData(self, data):
if self.shiller.Close < 10:
self.SetHoldings("SPY", .40,)
self.SetHoldings("TLT", .60)
elif self.shiller.Close < 14 and self.shiller.Close > 10:
self.SetHoldings("SPY", .60,)
self.SetHoldings("TLT", .40)
else:
self.SetHoldings("SPY", .8)
self.SetHoldings("TLT", .20)
class QuandlCustomColumns(PythonQuandl):
def __init__(self):
self.ValueColumnName = "value"