| Overall Statistics |
|
Total Trades 107 Average Win 1.10% Average Loss -0.81% Compounding Annual Return 1.050% Drawdown 9.300% Expectancy 0.139 Net Profit 5.550% Sharpe Ratio 0.174 Probabilistic Sharpe Ratio 2.058% Loss Rate 52% Win Rate 48% Profit-Loss Ratio 1.37 Alpha 0.013 Beta -0.019 Annual Standard Deviation 0.06 Annual Variance 0.004 Information Ratio -0.79 Tracking Error 0.182 Treynor Ratio -0.557 Total Fees $175.20 Estimated Strategy Capacity $940000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
class LongMomentumSPY(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2016, 4, 14)
self.SetEndDate(2021, 6, 14)
self.SetCash(100000)
self.spy = self.AddEquity("SPY", Resolution.Daily)
self.SetBenchmark("SPY")
self.SetBrokerageModel(BrokerageName.AlphaStreams)
self.SetExecution(ImmediateExecutionModel())
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
symbols = [Symbol.Create("SPY", SecurityType.Equity, Market.USA)]
self.AddUniverseSelection(ManualUniverseSelectionModel(symbols))
self.spyMomentum = self.MOMP("SPY", 30, Resolution.Daily)
upthreshold = self.GetParameter("upthreshold")
self.AddAlpha(LongMomentumAlphaModel(self.spyMomentum, upthreshold))
def OnEndOfDay(self, symbol):
self.Log("Taking a position of " + str(self.Portfolio[symbol].Quantity) + " units of symbol " + str(symbol))
class LongMomentumAlphaModel(AlphaModel):
def __init__(self, spyMomentum, upthreshold):
self.period = timedelta(120)
self.spyMomentum = spyMomentum
self.upthreshold = float(upthreshold)
def Update(self, algorithm, data):
insights = []
if self.spyMomentum.IsReady:
if self.spyMomentum.Current.Value >= self.upthreshold:
insights.append(Insight("SPY", self.period, InsightType.Price, InsightDirection.Up, 1.0, None))
else:
insights.append(Insight("SPY", self.period, InsightType.Price, InsightDirection.Flat, 1.0, None))
return insights
def OnSecuritiesChanged(self, algorithm, changes):
self.changes = changes