| Overall Statistics |
|
Total Trades 1074 Average Win 0.06% Average Loss -0.06% Compounding Annual Return -10.837% Drawdown 5.700% Expectancy -0.183 Net Profit -2.819% Sharpe Ratio -0.928 Probabilistic Sharpe Ratio 14.363% Loss Rate 61% Win Rate 39% Profit-Loss Ratio 1.08 Alpha -0.094 Beta 0.021 Annual Standard Deviation 0.096 Annual Variance 0.009 Information Ratio -2.265 Tracking Error 0.156 Treynor Ratio -4.256 Total Fees $1208.41 Estimated Strategy Capacity $1100.00 Lowest Capacity Asset MAYS R735QTJ8XC9X |
class UglyRedOrangeChinchilla(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 12, 1)
self.SetEndDate(2021, 3, 1)
self.SetCash(100000)
self.SetBenchmark("SPY")
self.UniverseSettings.Resolution = Resolution.Daily
self.AddUniverseSelection(
FineFundamentalUniverseSelectionModel(self.SelectCoarse,
self.SelectFine))
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
self.SetExecution(ImmediateExecutionModel())
def SelectCoarse(self, coarse):
hasFundamentalData = [c for c in coarse if c.HasFundamentalData]
filteredByPrice = [c.Symbol for c in hasFundamentalData if c.Price > 10]
return filteredByPrice
def SelectFine(self, fine):
sortedByPERatio = sorted(fine,
key=lambda f: f.ValuationRatios.PERatio1YearHigh,
reverse=False)
self.forLong = [f.Symbol for f in sortedByPERatio[:10]]
self.forShort = [f.Symbol for f in sortedByPERatio[-10:]]
return self.forShort + self.forLong
def OnData(self, slice):
insights = []
[insights.append(Insight.Price(symbol, timedelta(28), InsightDirection.Up)) for symbol in self.forLong]
[insights.append(Insight.Price(symbol, timedelta(28), InsightDirection.Down)) for symbol in self.forShort]
self.EmitInsights(insights)