Overall Statistics |
Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio -0.396 Tracking Error 0.395 Treynor Ratio 0 Total Fees $0.00 |
import datetime class ModulatedUncoupledAutosequencers(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 1, 1) # Set Start Date self.SetCash(100000) # Set Strategy Cash self.spy = self.AddEquity("SPY", Resolution.Hour).Symbol self.day = 0 def OnData(self, data): if data.Time.day == self.day: return self.day = data.Time.day today = data.Time.date() self.Plot("First", "Day", int(self.FirstTradingDayOfMonth(today))) def FirstTradingDayOfMonth(self, today): firstDayOfCurrentMonth = datetime.date(today.year, today.month, 1) tradingDays = self.TradingCalendar.GetTradingDays(firstDayOfCurrentMonth, self.EndDate) firstTradingDay = next(day for index, day in enumerate(tradingDays) if day.BusinessDay) return today == firstTradingDay.Date.date()