Overall Statistics |
Total Trades 1441 Average Win 1.36% Average Loss -0.79% Compounding Annual Return 11.764% Drawdown 16.700% Expectancy 0.314 Net Profit 605.723% Sharpe Ratio 0.997 Probabilistic Sharpe Ratio 39.875% Loss Rate 52% Win Rate 48% Profit-Loss Ratio 1.72 Alpha 0.082 Beta 0.377 Annual Standard Deviation 0.127 Annual Variance 0.016 Information Ratio 0.051 Tracking Error 0.159 Treynor Ratio 0.337 Total Fees $56651785.88 |
class VentralParticlePrism(QCAlgorithm): def Initialize(self): self.SetStartDate(2003, 1, 1) # Set Start Date self.SetEndDate(2020, 7, 22) self.SetCash(250000000) # Set Strategy Cash self.AddEquity("QQQ", Resolution.Minute) self.AddEquity("TQQQ", Resolution.Minute) self.AddEquity("UVXY", Resolution.Minute) self.vma = self.SMA("QQQ", 365, Resolution.Daily, Field.Volume) self.vmaSlope = MomentumPercent(12) self.BuyThreshold = ((self.vma.Current.Value)*(-0.123))*100 self.SellThreshold = ((self.vma.Current.Value)*(-0.1))*100 self.Schedule.On( self.DateRules.EveryDay("QQQ"), self.TimeRules.AfterMarketOpen("QQQ", 7), self.Derp) #Whenever I raise the number of minutes to anything over 10, #it places and cancels an order every single trading day throughout #the entire backtest. I don't understand this at all. self.SetWarmup(365) def OnData(self, data): if self.IsWarmingUp: return self.vmaSlope.Update(self.Time, self.vma.Current.Value) def Derp(self): if self.vmaSlope.Current.Value <= self.BuyThreshold: self.SetHoldings("TQQQ", 0) self.SetHoldings("QQQ", 1) self.SetHoldings("UVXY", 0) #self.Short == False #self.Long == True if self.vmaSlope.Current.Value >= self.SellThreshold: self.Liquidate("TQQQ") self.Liquidate("QQQ")