| Overall Statistics |
|
Total Orders 59 Average Win 0.44% Average Loss -0.88% Compounding Annual Return -25.690% Drawdown 13.100% Expectancy -0.413 Start Equity 2000000 End Equity 1766483.11 Net Profit -11.676% Sharpe Ratio -2.167 Sortino Ratio -1.709 Probabilistic Sharpe Ratio 0.265% Loss Rate 61% Win Rate 39% Profit-Loss Ratio 0.49 Alpha -0.212 Beta -0.129 Annual Standard Deviation 0.109 Annual Variance 0.012 Information Ratio -2.798 Tracking Error 0.15 Treynor Ratio 1.829 Total Fees $1178.45 Estimated Strategy Capacity $45000000.00 Lowest Capacity Asset ROKU WO9FGTL2I89X Portfolio Turnover 9.45% |
# region imports from AlgorithmImports import * # endregion class QC3(QCAlgorithm): def Initialize(self): self.SetStartDate(2023, 12, 20) self.SetEndDate(2024, 5, 20) self.SetCash(2000_000) self.SetWarmUp(30) self.ticker ='ROKU' self.sym = self.AddEquity(self.ticker, Resolution.Daily) self.ticker1 = 'MSFT' self.sym1 = self.AddEquity(self.ticker1, Resolution.Daily) # define a 10-period daily RSI indicator with shortcut helper method self.sma = self.SMA(self.ticker, 20, Resolution.Daily) self.sma1 = self.SMA(self.ticker1, 20, Resolution.Daily) self.port = True # True indicates that have one or two stocks if self.port: self.wt = 0.25 # if we have two stocks, each wt will be 25% else: self.wt = 0.5 # single stock wt 50% def OnData(self, data): if self.IsWarmingUp: return ind = self.sma.Current.Value ind1= self.sma1.Current.Value self.Debug("Price " + str(self.sym.Price) + "indicator " +str(ind)) self.Debug(" Compare " + str(self.sym.Price>ind)) #Trend-Following Momentum Strategy for self.ticker if not self.Portfolio[self.ticker].Invested: if self.sym.Price > ind: self.SetHoldings(self.sym.Symbol, self.wt) elif self.sym.Price <ind: self.SetHoldings(self.sym.Symbol, -self.wt) elif self.Portfolio[self.ticker].IsLong and self.sym.Price< ind or \ self.Portfolio[self.ticker].IsShort and self.sym.Price> ind: self.SetHoldings(self.sym.Symbol, 0.0) #Trend-Reversal Strategy for self.ticker1 if self.port: if not self.Portfolio[self.ticker1].Invested: if self.sym1.Price > ind1: self.SetHoldings(self.sym1.Symbol, -self.wt) elif self.sym1.Price <ind1: self.SetHoldings(self.sym1.Symbol, self.wt) elif self.Portfolio[self.ticker1].IsShort and self.sym1.Price< ind1 or \ self.Portfolio[self.ticker1].IsLong and self.sym1.Price> ind1: self.SetHoldings(self.sym1.Symbol, 0.0)
