| Overall Statistics |
|
Total Trades 2073 Average Win 0.01% Average Loss -0.02% Compounding Annual Return 32.023% Drawdown 13.100% Expectancy -0.196 Net Profit 14.807% Sharpe Ratio 1.458 Probabilistic Sharpe Ratio 57.018% Loss Rate 49% Win Rate 51% Profit-Loss Ratio 0.57 Alpha -0.143 Beta 1.464 Annual Standard Deviation 0.24 Annual Variance 0.057 Information Ratio 0.089 Tracking Error 0.148 Treynor Ratio 0.239 Total Fees $2073.00 Estimated Strategy Capacity $2600000.00 Lowest Capacity Asset IBM R735QTJ8XC9X |
class FocusedTanChicken(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 1, 26)
self.SetCash(100000)
tickers = ["AAPL","MSFT","IBM","TSLA","GOOG","IBM"]
symbols = [ Symbol.Create(ticker, SecurityType.Equity, Market.USA) for ticker in tickers ]
self.AddUniverseSelection( ManualUniverseSelectionModel(symbols) )
self.AddAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(minutes = 20), 0.025, None))
self.SetPortfolioConstruction( EqualWeightingPortfolioConstructionModel() )
self.SetExecution( ModifiedImmediateExecutionModel() )
def OnData(self, data):
pass
class ModifiedImmediateExecutionModel(ExecutionModel):
'''Provides an implementation of IExecutionModel that immediately submits market orders to achieve the desired portfolio targets'''
def __init__(self):
'''Initializes a new instance of the ImmediateExecutionModel class'''
self.targetsCollection = PortfolioTargetCollection()
def Execute(self, algorithm, targets):
'''Immediately submits orders for the specified portfolio targets.
Args:
algorithm: The algorithm instance
targets: The portfolio targets to be ordered'''
# for performance we check count value, OrderByMarginImpact and ClearFulfilled are expensive to call
self.targetsCollection.AddRange(targets)
if self.targetsCollection.Count > 0:
for target in self.targetsCollection.OrderByMarginImpact(algorithm):
# calculate remaining quantity to be ordered
quantity = OrderSizing.GetUnorderedQuantity(algorithm, target)
if quantity != 0:
close = algorithm.Securities[target.Symbol].Close
algorithm.StopMarketOrder(target.Symbol, quantity, close * 0.99)
self.targetsCollection.ClearFulfilled(algorithm)