Overall Statistics |
Total Trades 23 Average Win 3.21% Average Loss -0.51% Compounding Annual Return 20.072% Drawdown 8.500% Expectancy 2.625 Net Profit 20.052% Sharpe Ratio 1.538 Probabilistic Sharpe Ratio 70.454% Loss Rate 50% Win Rate 50% Profit-Loss Ratio 6.25 Alpha 0.125 Beta 0.079 Annual Standard Deviation 0.091 Annual Variance 0.008 Information Ratio -0.353 Tracking Error 0.135 Treynor Ratio 1.768 Total Fees $36.63 Estimated Strategy Capacity $89000000.00 Lowest Capacity Asset SPY 2T |
class WellDressedYellowCat(QCAlgorithm): def Initialize(self): # parameters: startingCash = 100000 trailingStop = 0.04 self.longEntryThreshhold = 0.15 self.shortEntryThreshhold = -0.15 self.longAllocation = 1 # 100% long self.shortAllocation = -1 # 100% short symbol = "SPY" self.SetStartDate(2021, 1, 1) # Set Start Date self.SetEndDate(2022, 1, 1) self.SetCash(startingCash) # Set Strategy Cash self.symbol = self.AddEquity(symbol, Resolution.Minute).Symbol self.tli = self.AddData(TLI, "tli", Resolution.Minute).Symbol self.AddRiskManagement(TrailingStopRiskManagementModel(trailingStop)) def OnData(self, data: Slice): if self.tli in data: if data[self.tli].Value > self.longEntryThreshhold: self.SetHoldings(self.symbol, self.longAllocation) elif data[self.tli].Value < self.shortEntryThreshhold: self.SetHoldings(self.symbol, self.shortAllocation) class TLI(PythonData): def GetSource(self, config, date, isLive): source = "https://www.dropbox.com/s/zlm00njnufrhnko/TLI.csv?dl=1" return SubscriptionDataSource(source, SubscriptionTransportMedium.RemoteFile); def Reader(self, config, line, date, isLive): if not (line.strip() and line[0].isdigit()): return None data = line.split(',') tli = TLI() try: tli.Symbol = config.Symbol # make data available Monday morning (Friday 16:00 + 66 hours) # since we can't trade on weekend anyway tli.Time = datetime.strptime(data[0], '%Y-%m-%d %H:%M:%S') + timedelta(hours=66) tli.Value = data[1] except ValueError: return None return tli