| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 4.347% Drawdown 9.700% Expectancy 0 Net Profit 2.157% Sharpe Ratio 0.303 Probabilistic Sharpe Ratio 27.646% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0 Beta 0.997 Annual Standard Deviation 0.119 Annual Variance 0.014 Information Ratio -0.375 Tracking Error 0 Treynor Ratio 0.036 Total Fees $1.14 Estimated Strategy Capacity $360000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
class FormalBlackBear(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 8, 6) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.leverage = 20/3 # e.g. leverage of 6.667
# Set custom security initializer.
self.SetSecurityInitializer(self.CustomSecurityInitializer)
self.AddEquity("SPY", Resolution.Daily)
def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
Arguments:
data: Slice object keyed by symbol containing the stock data
'''
if not self.Portfolio.Invested:
self.SetHoldings("SPY", 1)
self.Plot("Remaining Buying Power", "Remaining Buying Power", self.Portfolio.MarginRemaining * self.leverage)
def CustomSecurityInitializer(self, security):
# Set custom leverage for each security added into the universe.
security.SetLeverage(self.leverage)