| Overall Statistics |
|
Total Orders 527 Average Win 4.57% Average Loss -1.96% Compounding Annual Return 11.230% Drawdown 25.300% Expectancy 0.357 Start Equity 100000 End Equity 499547.49 Net Profit 399.547% Sharpe Ratio 0.539 Sortino Ratio 0.613 Probabilistic Sharpe Ratio 5.223% Loss Rate 59% Win Rate 41% Profit-Loss Ratio 2.34 Alpha 0.002 Beta 0.746 Annual Standard Deviation 0.125 Annual Variance 0.016 Information Ratio -0.266 Tracking Error 0.076 Treynor Ratio 0.09 Total Fees $2481.56 Estimated Strategy Capacity $90000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 9.53% |
# region imports from AlgorithmImports import * # endregion class TrailingStopSPYAlgorithm(QCAlgorithm): def initialize(self): self.set_start_date(2010, 1, 1) # Add SPY to universe. self.add_equity("SPY", Resolution.MINUTE) # Constant Buy signal for SPY. self.add_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(1))) # PCM to re-enter the market daily. self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel()) # 3% Trailing Stop Loss self.add_risk_management(TrailingStopRiskManagementModel(0.03))
