| Overall Statistics |
|
Total Orders 178 Average Win 14.67% Average Loss -1.29% Compounding Annual Return 6.936% Drawdown 25.500% Expectancy 1.922 Start Equity 100000 End Equity 620847.83 Net Profit 520.848% Sharpe Ratio 0.309 Sortino Ratio 0.285 Probabilistic Sharpe Ratio 0.177% Loss Rate 76% Win Rate 24% Profit-Loss Ratio 11.38 Alpha 0.012 Beta 0.369 Annual Standard Deviation 0.096 Annual Variance 0.009 Information Ratio -0.155 Tracking Error 0.126 Treynor Ratio 0.08 Total Fees $1273.82 Estimated Strategy Capacity $510000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 1.79% |
# region imports from AlgorithmImports import * # endregion class CrawlingMagentaTapir(QCAlgorithm): def initialize(self): self._spy = self.add_equity("SPY") self._spy.sma = SimpleMovingAverage(200) self.schedule.on(self.date_rules.every_day(self._spy.symbol), self.time_rules.before_market_close(self._spy.symbol, 1), self._rebalance) def _rebalance(self): if not self._spy.sma.update(self.time, self._spy.price): return sma = self._spy.sma.current.value if self._spy.price > sma and not self._spy.invested: self.set_holdings(self._spy.symbol, 1) elif self._spy.price < sma and self._spy.invested: self.liquidate() self.plot('Signal', 'SMA', sma) self.plot('Signal', 'Price', self._spy.price)
