Overall Statistics
Total Orders
2
Average Win
0%
Average Loss
0%
Compounding Annual Return
-6.654%
Drawdown
24.000%
Expectancy
0
Start Equity
1000000
End Equity
933344.96
Net Profit
-6.666%
Sharpe Ratio
-0.627
Sortino Ratio
-0.651
Probabilistic Sharpe Ratio
6.390%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.033
Beta
-0.449
Annual Standard Deviation
0.145
Annual Variance
0.021
Information Ratio
-1.128
Tracking Error
0.195
Treynor Ratio
0.202
Total Fees
$40.34
Estimated Strategy Capacity
$160000000.00
Lowest Capacity Asset
GOOCV VP83T1ZUHROL
Portfolio Turnover
0.27%
 
from AlgorithmImports import *

class MaxPositionSizing(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2023, 6, 1)
        self.SetEndDate(2024, 6, 1)
        self.SetCash(1000000)

        self.goog = self.AddEquity("GOOG", Resolution.Daily).Symbol
        self.amzn = self.AddEquity("AMZN", Resolution.Daily).Symbol

    def OnData(self, data):
        if not self.Portfolio.Invested:
            cash = self.Portfolio.Cash
            goog_price = data[self.goog].Close
            amzn_price = data[self.amzn].Close

            max_shares_goog = int((cash * 3) / (7 * goog_price))
            max_shares_amzn = int((cash * 4) / (7 * amzn_price))
            position_factor = min(max_shares_goog / 3, max_shares_amzn / 4)

            self.MarketOrder(self.goog, int(position_factor * 3))
            self.MarketOrder(self.amzn, -int(position_factor * 4))