Overall Statistics
Total Trades
4
Average Win
0%
Average Loss
0%
Compounding Annual Return
28.962%
Drawdown
9.500%
Expectancy
0
Net Profit
66.544%
Sharpe Ratio
1.26
Probabilistic Sharpe Ratio
59.906%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.162
Beta
0.303
Annual Standard Deviation
0.167
Annual Variance
0.028
Information Ratio
0.233
Tracking Error
0.212
Treynor Ratio
0.694
Total Fees
$112.34
Estimated Strategy Capacity
$41000000.00
Lowest Capacity Asset
MWD R735QTJ8XC9X
# region imports
from AlgorithmImports import *
# endregion

class EnergeticYellowGreenGiraffe(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020,1,1)
        self.SetEndDate(2021,1,1)
        self.SetCash(1000000)

        # add securities 
        self.AddEquity("GOOG", Resolution.Daily)
        self.GOOG = self.Symbol("GOOG")
        self.AddEquity("AMZN", Resolution.Daily)
        self.AMZN = self.Symbol("AMZN")

        self.count = 0 

    def OnData(self, data: Slice):

        if self.count == 0:
            self.MarketOrder("GOOG", 6000)
            self.MarketOrder("AMZN",-8000)

        value = self.Portfolio.TotalPortfolioValue
        self.Log('Portfolio Value : ' + str(value))

        self.count += 1 

        if value < 900000:
            order_ids = self.Liquidate()
# region imports
from AlgorithmImports import *
# endregion

class EnergeticYellowGreenGiraffe(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020,1,1)
        self.SetEndDate(2021,1,1)
        self.SetCash(1000000)

        # add securities 
        self.AddEquity("GOOG", Resolution.Daily)
        self.AddEquity("AMZN", Resolution.Daily)

    def OnData(self, data: Slice):

        # get starting date prices
        if self.Time.day == 1 and self.Time.month == 1 and self.Time.year == 2020:
            self.AMZN_start = self.Securities["AMZN"].Price
            self.GOOG_start = self.Securities["GOOG"].Price

            self.LimitOrder("AMZN", -8000, 1.05 * self.AMZN_start)
            self.LimitOrder("GOOG", 6000, 0.95 * self.GOOG_start)

        value = self.Portfolio.TotalPortfolioValue
        if value < 900000:
            order_ids = self.Liquidate()

        value = self.Portfolio.TotalPortfolioValue
        if value < 900000:
            order_ids = self.Liquidate()
# region imports
from AlgorithmImports import *
# endregion

class MeasuredTanJackal(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020,1,1)
        self.SetEndDate(2021,1,1)
        self.SetCash(1000000)

        # add securities 
        self.AddEquity("GOOG", Resolution.Daily)
        self.AddEquity("AMZN", Resolution.Daily)

        self.amzn_orders = -5628
        self.goog_orders = round(self.amzn_orders * 3/4,0)

    def OnData(self, data: Slice):

        self.Debug(f"AMZN : {self.amzn_orders} \n GOOG : {self.goog_orders}")

        if self.Time.day == 1 and self.Time.year == 2020 and self.Time.month == 1:
            self.MarketOrder("AMZN", self.amzn_orders) 
            self.MarketOrder("GOOG", -self.goog_orders)
# region imports
from AlgorithmImports import *
# endregion

class EnergeticYellowGreenGiraffe(QCAlgorithm):

    """
    1. (5 pts) Compute the Sharpe Ratio of a buy-and-hold strategy for each of the above stocks 
    individually for the given time period, that is, you need to compute four 
    Sharpe Ratios separately, one for each stock.
    """

    def Initialize(self):
        self.SetStartDate(2019,2,1)
        self.SetEndDate(2021,2,1)
        self.SetCash(1000000)

        #self.AddEquity('GS', Resolution.Daily)
        #self.AddEquity('MS', Resolution.Daily)
        #self.AddEquity('AMD', Resolution.Daily)
        self.AddEquity('XOM', Resolution.Daily)

    def OnData(self, data: Slice):

        #self.SetHoldings('GS', 1)
        #self.SetHoldings('MS', 1)
        #self.SetHoldings('AMD', 1)
        self.SetHoldings('XOM', 1)
# region imports
from AlgorithmImports import *
# endregion

class EnergeticYellowGreenGiraffe(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019,2,1)
        self.SetEndDate(2021,2,1)
        self.SetCash(1000000)

        # just commenting and uncommenting the below to find the statistic for 
        # the relevant ticker

        #self.AddEquity('GS', Resolution.Daily)
        self.AddEquity('MS', Resolution.Daily)
        #self.AddEquity('AMD', Resolution.Daily)
        #self.AddEquity('XOM', Resolution.Daily)

        self.count = 0 
    
    def OnData(self, data: Slice):

        if self.count == 0:
            #self.SetHoldings('GS', 1)
            self.SetHoldings('MS', 1)
            #self.SetHoldings('AMD', 1)
            #self.SetHoldings('XOM', 1)
        
        value = self.Portfolio.TotalUnrealizedProfit
        stop_loss = 0.07 * 1000000
        self.count += 1

        # with 1MM starting value, equates to losing or gaining $70,000
        if (value <=  -stop_loss) or (value >= stop_loss):
            order = self.Liquidate()
# region imports
from AlgorithmImports import *
# endregion

class EnergeticYellowGreenGiraffe(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019,2,1)
        self.SetEndDate(2021,2,1)
        self.SetCash(1000000)

        # just commenting and uncommenting the below to find the statistic for 
        # the relevant ticker

        self.AddEquity('GS', Resolution.Daily)
        self.AddEquity('MS', Resolution.Daily)
        #self.AddEquity('AMD', Resolution.Daily)
        #self.AddEquity('XOM', Resolution.Daily)

        self.count = 0 

    def OnData(self, data: Slice):

        self.SetHoldings('GS', 0.5)
        self.SetHoldings('MS', -0.5)
        #self.SetHoldings('AMD', 1)
        #self.SetHoldings('XOM', 1)
    
# region imports
from AlgorithmImports import *
# endregion

class EnergeticYellowGreenGiraffe(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019,2,1)
        self.SetEndDate(2021,2,1)
        self.SetCash(1000000)

        # just commenting and uncommenting the below to find the statistic for 
        # the relevant ticker

        self.AddEquity('GS', Resolution.Daily)
        self.AddEquity('MS', Resolution.Daily)
        self.AddEquity('AMD', Resolution.Daily)
        self.AddEquity('XOM', Resolution.Daily)

        self.count = 0 

    def OnData(self, data: Slice):

        self.SetHoldings('GS', 0.25)
        self.SetHoldings('MS', -0.25)
        self.SetHoldings('AMD', 0.25)
        self.SetHoldings('XOM', -.25)
    
# region imports
from AlgorithmImports import *
# endregion

class EnergeticYellowGreenGiraffe(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019,2,1)
        self.SetEndDate(2021,2,1)
        self.SetCash(1000000)

        # just commenting and uncommenting the below to find the statistic for 
        # the relevant ticker

        self.AddEquity('GS', Resolution.Daily)
        self.AddEquity('MS', Resolution.Daily)
        self.AddEquity('AMD', Resolution.Daily)
        self.AddEquity('XOM', Resolution.Daily)

        self.count = 0 

    def OnData(self, data: Slice):

        if self.count == 0:
            self.SetHoldings('GS', 0.25)
            self.SetHoldings('MS', -0.25)
            self.SetHoldings('AMD', 0.25)
            self.SetHoldings('XOM', -.25)

        self.count += 1