| Overall Statistics |
|
Total Trades 842 Average Win 0.00% Average Loss 0.00% Compounding Annual Return -77.168% Drawdown 1.100% Expectancy -0.927 Net Profit -1.073% Sharpe Ratio -129.573 Probabilistic Sharpe Ratio 0% Loss Rate 95% Win Rate 5% Profit-Loss Ratio 0.36 Alpha -0.964 Beta 0.067 Annual Standard Deviation 0.005 Annual Variance 0 Information Ratio -89.176 Tracking Error 0.065 Treynor Ratio -9.089 Total Fees $842.00 Estimated Strategy Capacity $0 Lowest Capacity Asset SPY R735QTJ8XC9X |
class SwimmingSkyBlueAnguilline(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 10, 4) # Set Start Date
self.SetEndDate(2021, 10, 6) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.AddEquity("SPY", Resolution.Tick)
self.AddEquity("QQQ", Resolution.Tick)
self.consolidator = {}
def OnConsolidated(self, sender, bar):
if bar.Close > bar.Open:
self.MarketOrder(bar.Symbol, 1)
else:
self.MarketOrder(bar.Symbol, -1)
def OnSecuritiesChanged(self, changes):
for security in changes.AddedSecurities:
symbol = security.Symbol
if symbol.Value == "SPY":
self.consolidator[symbol] = TickConsolidator(3000)
elif symbol.Value == "QQQ":
self.consolidator[symbol] = TickConsolidator(timedelta(minutes=15))
self.consolidator[symbol].DataConsolidated += self.OnConsolidated
self.SubscriptionManager.AddConsolidator(symbol, self.consolidator[symbol])
for security in changes.RemovedSecurities:
symbol = security.Symbol
consolidator = self.consolidator.pop(symbol)
if consolidator:
self.SubscriptionManager.RemoveConsolidator(symbol, consolidator)