Overall Statistics |
Total Trades 22 Average Win 3.21% Average Loss -0.03% Compounding Annual Return -0.075% Drawdown 17.900% Expectancy 8.015 Net Profit -0.157% Sharpe Ratio 0.056 Loss Rate 92% Win Rate 8% Profit-Loss Ratio 107.18 Alpha -0.079 Beta 4.278 Annual Standard Deviation 0.123 Annual Variance 0.015 Information Ratio -0.107 Tracking Error 0.123 Treynor Ratio 0.002 Total Fees $79.18 |
import numpy as np import datetime class SellInMayBuyInNov(QCAlgorithm): def Initialize(self): self.SetStartDate(2017,1, 1) #Set Start Date self.SetEndDate(2019,2,1) #Set End Date self.SetCash(1000000) #Set Strategy Cash # Find more symbols here: http://quantconnect.com/data self.AddEquity("SPY", Resolution.Daily,Leverage=1,fillDataForward = True, extendedMarketHours = False) self.SetRunMode(RunMode.Series) def OnData(self, data): if self.Time.month == 5: if self.Portfolio.Invested: self.SetHoldings("SPY", -1) self.Debug("Sell In May " + str(self.Time.year)) elif self.Time.month == 11: if not self.Portfolio.Invested: self.SetHoldings("SPY", 1) self.Debug("Buy In Nov " + str(self.Time.year))