Overall Statistics
Total Orders
53
Average Win
1.59%
Average Loss
-0.46%
Compounding Annual Return
67.808%
Drawdown
11.700%
Expectancy
2.995
Start Equity
100000
End Equity
168046.61
Net Profit
68.047%
Sharpe Ratio
2.265
Sortino Ratio
2.138
Probabilistic Sharpe Ratio
85.260%
Loss Rate
10%
Win Rate
90%
Profit-Loss Ratio
3.44
Alpha
0.398
Beta
0.347
Annual Standard Deviation
0.2
Annual Variance
0.04
Information Ratio
1.157
Tracking Error
0.252
Treynor Ratio
1.307
Total Fees
$78.08
Estimated Strategy Capacity
$0
Lowest Capacity Asset
TSLA UNU3P8Y3WFAD
Portfolio Turnover
0.66%
Drawdown Recovery
13
 
# region imports
from AlgorithmImports import *
# endregion

class VirtualMagentaBeaver(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2020, 1, 1)
        self.set_end_date(2021, 1, 1)
        self.set_cash(100000)
        
        # Universe: Top 10 most liquid US equities
        self.universe_settings.resolution = Resolution.DAILY
        self._universe = self.add_universe(self.universe.top(10))
        
        # Rebalance monthly on the first trading day
        self.schedule.on(self.date_rules.month_start(), 
                        self.time_rules.after_market_open('SPY', 1), 
                        self.rebalance)

    def rebalance(self):
        symbols = list(self._universe.selected)
        if not symbols:
            return
        targets = [PortfolioTarget(symbol, 1.0 / len(symbols)) for symbol in symbols]
        self.set_holdings(targets, True)