Overall Statistics
Total Orders
2
Average Win
0%
Average Loss
0%
Compounding Annual Return
10148.701%
Drawdown
5.100%
Expectancy
0
Start Equity
100000
End Equity
147547.86
Net Profit
47.548%
Sharpe Ratio
55.991
Sortino Ratio
168.041
Probabilistic Sharpe Ratio
99.846%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
28.552
Beta
0.808
Annual Standard Deviation
0.51
Annual Variance
0.26
Information Ratio
56.722
Tracking Error
0.503
Treynor Ratio
35.326
Total Fees
$17.88
Estimated Strategy Capacity
$300000000.00
Lowest Capacity Asset
TSLA UNU3P8Y3WFAD
Portfolio Turnover
3.14%
Drawdown Recovery
6
 
# 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.roc = self.roc(self._equity, 10)
    
    def on_data(self, data):
        try: 
            roc_inv = 1 / self._equity.roc.current.value
            self.set_holdings(self._equity, 1 if roc_inv > 0 else -0.25)
        except:
            pass