Overall Statistics
Total Orders
2
Average Win
0%
Average Loss
0%
Compounding Annual Return
76.097%
Drawdown
16.300%
Expectancy
0
Start Equity
100000
End Equity
126711.99
Net Profit
26.712%
Sharpe Ratio
2.127
Sortino Ratio
2.251
Probabilistic Sharpe Ratio
70.276%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.041
Beta
1.73
Annual Standard Deviation
0.246
Annual Variance
0.061
Information Ratio
2.339
Tracking Error
0.104
Treynor Ratio
0.303
Total Fees
$2.95
Estimated Strategy Capacity
$43000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
Portfolio Turnover
1.17%
Drawdown Recovery
67
 
# region imports
from AlgorithmImports import *
# endregion

class VirtualMagentaBeaver(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2020, 8, 1)
        self.set_end_date(2021, 1, 1)
        self.set_cash(100000)
        self.add_equity('SPY')
        self.add_equity('TSLA')

    def on_data(self, data):
        if not self.portfolio.invested:
            self.set_holdings('SPY', 1.8)
            self.set_holdings('TSLA', 1)