| Overall Statistics |
|
Total Trades 10851 Average Win 0.00% Average Loss -0.01% Compounding Annual Return -21.233% Drawdown 13.000% Expectancy -0.430 Net Profit -13.000% Sharpe Ratio -17.877 Probabilistic Sharpe Ratio 0.000% Loss Rate 67% Win Rate 33% Profit-Loss Ratio 0.73 Alpha -0.24 Beta 0.126 Annual Standard Deviation 0.012 Annual Variance 0 Information Ratio -6.933 Tracking Error 0.061 Treynor Ratio -1.694 Total Fees $10851.00 Estimated Strategy Capacity $4200000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
class TradeStrategyTest(QCAlgorithm):
openingBar = None
currentBar = None
def Initialize(self):
self.SetStartDate(2017,1, 1) #Set Start Date
self.SetEndDate(2017,7,31) #Set End Date
self.SetCash(100000) #Set Strategy Cash
self.AddEquity("SPY", Resolution.Minute)
self.RSI1 = self.RSI("SPY", 5)
self.RSI2 = self.RSI("SPY", 2)
self.SetWarmUp(14)
def OnData(self, data):
if self.IsWarmingUp:
return
if not self.Portfolio["SPY"].Invested:
if ((self.RSI1.Current.Value <=50 and self.RSI1.Current.Value >=20) and self.RSI2.Current.Value <=35):
self.MarketOrder("SPY", 100)
else:
if self.RSI1.Current.Value > 50:
self.Liquidate()