| Overall Statistics |
|
Total Orders 2 Average Win 0% Average Loss 0% Compounding Annual Return 426.555% Drawdown 65.000% Expectancy 0 Start Equity 1000000 End Equity 2807157.09 Net Profit 180.716% Sharpe Ratio 4.023 Sortino Ratio 5.551 Probabilistic Sharpe Ratio 72.991% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 4.147 Beta 0.173 Annual Standard Deviation 1.036 Annual Variance 1.074 Information Ratio 3.886 Tracking Error 1.04 Treynor Ratio 24.065 Total Fees $2176.29 Estimated Strategy Capacity $39000.00 Lowest Capacity Asset USDJPY 8G Portfolio Turnover 37.36% |
from AlgorithmImports import *
class YenCarryTradeAlgorithm(QCAlgorithm):
def initialize(self):
self.set_start_date(2024, 1, 2)
self.set_end_date(2024, 8, 15)
self.set_cash(1_000_000) # 1M usd = 141M Yen Jan 1 2024
self.add_forex("USDJPY", Resolution.DAILY, leverage=100)
self.add_equity("BIL", Resolution.DAILY, leverage=100, data_normalization_mode=DataNormalizationMode.RAW)
self.schedule.on(self.date_rules.month_start(5), self.time_rules.at(10,00), self.trade)
def trade(self):
if not self.portfolio.invested:
self.set_holdings("BIL", 40)
self.set_holdings("USDJPY", 40)
self._interest_payment = -40_000_000 * (0.0025/12) # USD
# deduct interest
self.portfolio.cash_book['USD'].add_amount(self._interest_payment)