Overall Statistics
Total Orders
13
Average Win
0%
Average Loss
-4.37%
Compounding Annual Return
-53.796%
Drawdown
74.800%
Expectancy
-1
Start Equity
100000
End Equity
33810.57
Net Profit
-66.189%
Sharpe Ratio
-0.903
Sortino Ratio
-1.263
Probabilistic Sharpe Ratio
0.265%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.005
Beta
-3.93
Annual Standard Deviation
0.445
Annual Variance
0.198
Information Ratio
-0.914
Tracking Error
0.55
Treynor Ratio
0.102
Total Fees
$19.42
Estimated Strategy Capacity
$600000.00
Lowest Capacity Asset
BGU U7EC123NWZTX
Portfolio Turnover
0.69%
 
from AlgorithmImports import *

class FormalFluorescentYellowFlamingo(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2022, 12, 8)
        self.set_cash(100000)
        
        # Adding equity symbols
        self.add_equity("SPXL", Resolution.MINUTE)
        

    def on_data(self, data: Slice):
        if not self.Portfolio.Invested:
            # Equal weight allocation
            weight = -1.0 # 20% allocation to each stock
            self.SetHoldings("SPXL", weight)