Overall Statistics
Total Trades
101
Average Win
0.24%
Average Loss
-0.49%
Compounding Annual Return
-18.840%
Drawdown
13.600%
Expectancy
-0.373
Net Profit
-9.866%
Sharpe Ratio
-1.776
Probabilistic Sharpe Ratio
2.205%
Loss Rate
58%
Win Rate
42%
Profit-Loss Ratio
0.48
Alpha
-0.159
Beta
-0.077
Annual Standard Deviation
0.105
Annual Variance
0.011
Information Ratio
-3.051
Tracking Error
0.177
Treynor Ratio
2.429
Total Fees
$127.72
Estimated Strategy Capacity
$12000000.00
Lowest Capacity Asset
IEF SGNKIKYGE9NP
 
class MuscularFluorescentPinkDuck(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 1, 14)
        self.SetCash(100000) 
        self.AddEquity("SPY", Resolution.Minute)
        self.AddEquity("QQQ", Resolution.Minute)
        self.AddEquity("TLT", Resolution.Minute)
        self.AddEquity("IEF", Resolution.Minute)
        
        self.AddAlpha( MacdAlphaModel() )
        self.AddAlpha( RsiAlphaModel() )
        
        self.SetPortfolioConstruction( EqualWeightingPortfolioConstructionModel() )
        
        self.SetExecution( ImmediateExecutionModel() )