| Overall Statistics |
|
Total Orders 75 Average Win 5.40% Average Loss -1.54% Compounding Annual Return 8.139% Drawdown 17.500% Expectancy 0.704 Start Equity 1000000 End Equity 1446722.72 Net Profit 44.672% Sharpe Ratio 0.35 Sortino Ratio 0.313 Probabilistic Sharpe Ratio 13.936% Loss Rate 62% Win Rate 38% Profit-Loss Ratio 3.50 Alpha 0.006 Beta 0.337 Annual Standard Deviation 0.103 Annual Variance 0.011 Information Ratio -0.362 Tracking Error 0.144 Treynor Ratio 0.106 Total Fees $1187.39 Estimated Strategy Capacity $1200000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 4.35% |
# region imports
from AlgorithmImports import *
# endregion
class QuantLeague(QCAlgorithm):
def initialize(self):
self.set_start_date(2020, 1, 1)
self.set_cash(1000000)
self.symbol = self.add_equity("SPY", Resolution.Daily).Symbol
self.fast_moving_average = self.sma(self.symbol, 50, Resolution.Daily)
self.last_action = None
def on_data(self, data):
if self.IsWarmingUp:
return # Skip during warm-up
# Ensure we have enough data to calculate the moving average
if not self.fast_moving_average.is_ready:
return
if self.symbol in data and data[self.symbol] is not None:
price = data[self.symbol].close
# Buy if the price is above the moving average
if price > self.fast_moving_average.current.value:
if not self.portfolio.invested or self.last_action == "Sell":
self.set_holdings(self.symbol, 1)
self.last_action = "Buy"
# Sell if the price is below the moving average
elif price < self.fast_moving_average.current.value:
if self.portfolio.invested and self.last_action == "Buy":
self.liquidate(self.symbol)
self.last_action = "Sell"