From 048fe837f884f6fe794fad7163837df1c56602e8 Mon Sep 17 00:00:00 2001 From: Robert Grzesik Date: Sun, 16 Jun 2024 14:57:47 -0400 Subject: [PATCH] updated version + deploy --- quantstats_lumi/version.py | 2 +- report.html | 17213 +++++++++++++++++------------------ 2 files changed, 8559 insertions(+), 8656 deletions(-) diff --git a/quantstats_lumi/version.py b/quantstats_lumi/version.py index 779733f..63fe829 100644 --- a/quantstats_lumi/version.py +++ b/quantstats_lumi/version.py @@ -1 +1 @@ -version = "0.3.0" +version = "0.3.1" diff --git a/report.html b/report.html index d690076..ce20582 100644 --- a/report.html +++ b/report.html @@ -298,7 +298,7 @@

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12.56%

Total Return
-

3.97%

+

4%

Max Drawdown
@@ -12797,14 +12700,14 @@

15.28

- +

Parameters Used

ParameterValue
symbolSPY
idle_holding_symbolQQQ
idle_holding_pct0.25
days_to_expiry0
strike_step_size1
min_wing_size2
time_to_start10:30
max_loss0.25
first_adjustment_loss0.1
take_profit0.15
pct_to_trade0.35
time_to_close15:30
days_of_week_to_trade01234
wing_size_adjustment0
max_adx40
min_gamma_risk0
expected_iv_collapse2.5
adx_length14
take_profit_trailing_stop0.02
- +

Key Performance Metrics

@@ -12815,7 +12718,7 @@

Key Performance Metrics

- +
Risk-Free Rate0.0%
Time in Market100.0%

Total Return3.97%
Total Return4%
CAGR% (Annual Return)12.56%

Sharpe7.05