Overall Statistics |
Total Trades 2 Average Win 0% Average Loss 0% Compounding Annual Return 206.170% Drawdown 0.300% Expectancy 0 Net Profit 1.545% Sharpe Ratio 9.917 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 56.211 Annual Standard Deviation 0.065 Annual Variance 0.004 Information Ratio 9.757 Tracking Error 0.065 Treynor Ratio 0.011 Total Fees $8.78 |
import numpy as np class BasicTemplateAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2012,10, 1) #Set Start Date self.SetEndDate(2012,10,5) #Set End Date self.SetCash(100000) #Set Strategy Cash self.AddEquity("WMT", Resolution.Daily) self.Securities["WMT"].SetLeverage(2) def OnData(self, data): self.Log('Cash: ' + str(self.Portfolio.Cash)) self.Log('GetBuyingPower: ' + str(self.Portfolio.GetBuyingPower("WMT", OrderDirection.Buy))) self.Log('AveragePrice: ' + str(self.Portfolio["WMT"].AveragePrice)) self.Log('TotalFees: ' + str(self.Portfolio.TotalFees)) self.Log('CalculateOrderQuantity: ' + str(self.CalculateOrderQuantity("WMT", 1))) self.SetHoldings("WMT", 1)