Overall Statistics
Total Orders
3
Average Win
77.23%
Average Loss
0%
Compounding Annual Return
49.542%
Drawdown
17.200%
Expectancy
0
Start Equity
100000
End Equity
177157.97
Net Profit
77.158%
Sharpe Ratio
0.717
Sortino Ratio
2.14
Probabilistic Sharpe Ratio
19.057%
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
0.466
Beta
-0.29
Annual Standard Deviation
0.613
Annual Variance
0.375
Information Ratio
0.555
Tracking Error
0.626
Treynor Ratio
-1.516
Total Fees
$68.04
Estimated Strategy Capacity
$1000.00
Lowest Capacity Asset
PFINA R735QTJ8XC9X
Portfolio Turnover
0.38%
Drawdown Recovery
67
 
# region imports
from AlgorithmImports import *
# endregion

class VirtualMagentaBeaver(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2023, 8, 1)
        self.set_end_date(2025, 1, 1)
        self.set_cash(100000)
        self.add_equity('SPY', Resolution.DAILY)
        self._symbol = self.add_equity('PFIN', Resolution.DAILY)
        self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())
        self.schedule.on(
            self.date_rules.month_start('SPY'),
            self.time_rules.midnight,
            lambda: self.emit_insights(Insight(self._symbol, timedelta(40), InsightType.PRICE, InsightDirection.UP))
        )