| Overall Statistics |
|
Total Orders 15 Average Win 4.68% Average Loss -2.61% Compounding Annual Return -29.980% Drawdown 22.900% Expectancy -0.492 Start Equity 100000 End Equity 97050.11 Net Profit -2.950% Sharpe Ratio -0.345 Sortino Ratio -0.609 Probabilistic Sharpe Ratio 32.957% Loss Rate 82% Win Rate 18% Profit-Loss Ratio 1.79 Alpha -0.154 Beta 0.321 Annual Standard Deviation 0.466 Annual Variance 0.217 Information Ratio -0.297 Tracking Error 0.47 Treynor Ratio -0.501 Total Fees $129.23 Estimated Strategy Capacity $530000000.00 Lowest Capacity Asset TSLA UNU3P8Y3WFAD Portfolio Turnover 28.55% Drawdown Recovery 0 |
# region imports
from AlgorithmImports import *
# endregion
class VirtualMagentaBeaver(QCAlgorithm):
def initialize(self):
self.set_start_date(2020, 1, 1)
self.set_end_date(2020, 2, 1)
self.set_cash(100000)
self._equity = self.add_equity('TSLA', Resolution.DAILY)
self._equity.previous_price = None
def on_data(self, data):
if self._equity.symbol not in data.bars:
return
if self._equity.previous_price:
roc = self._equity.price / self._equity.previous_price - 1
self.set_holdings(self._equity, 1 if roc > 0 else -0.25)
self._equity.previous_price = self._equity.price