| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 15.996% Drawdown 16.700% Expectancy 0 Net Profit 25.008% Sharpe Ratio 0.617 Sortino Ratio 0.834 Probabilistic Sharpe Ratio 42.565% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0 Beta 0.999 Annual Standard Deviation 0.142 Annual Variance 0.02 Information Ratio -0.472 Tracking Error 0 Treynor Ratio 0.088 Total Fees $1.31 Estimated Strategy Capacity $1000000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 0.19% |
# region imports
from AlgorithmImports import *
# endregion
class CustomSlippageModelAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2022, 6, 28)
self.SetCash(100000)
security = self.AddEquity("SPY", Resolution.Daily)
security.SetSlippageModel(MySlippageModel())
def OnData(self, data: Slice):
if not self.Portfolio.Invested:
self.SetHoldings("SPY", 1)
class MySlippageModel:
def GetSlippageApproximation(self, asset: Security, order: Order) -> float:
slippage = asset.Price * 0.0001 * np.log10(2*float(order.AbsoluteQuantity))
return slippage