| Overall Statistics |
|
Total Trades 259 Average Win 1.47% Average Loss -2.02% Compounding Annual Return -6.502% Drawdown 35.000% Expectancy 0.004 Net Profit -3.379% Sharpe Ratio 0.073 Probabilistic Sharpe Ratio 25.523% Loss Rate 42% Win Rate 58% Profit-Loss Ratio 0.73 Alpha -0.022 Beta 0.996 Annual Standard Deviation 0.447 Annual Variance 0.2 Information Ratio -1.61 Tracking Error 0.014 Treynor Ratio 0.033 Total Fees $259.00 |
class ModulatedOptimizedProcessor(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019, 12, 16)
self.SetCash(60000)
self.spy = self.AddEquity("SPY").Symbol
self.qqq = self.AddEquity("QQQ").Symbol
self.Schedule.On(self.DateRules.EveryDay(self.spy), self.TimeRules.BeforeMarketClose(self.spy, 5), self.ClosePositionsEndOfDay)
#Use WILR indicator to track percent change.
self.wilrSpy = self.WILR(self.spy, 1, Resolution.Daily)
self.wilrQqq = self.WILR(self.qqq, 1, Resolution.Daily)
#Plot the percent change.
self.PlotIndicator("PercentChange", self.wilrSpy, self.wilrQqq)
def OnData(self, data):
if self.spy not in data or self.qqq not in data:
return
if not self.Portfolio.Invested:
self.SetHoldings(self.spy, 1)
def ClosePositionsEndOfDay(self):
self.Liquidate()