Overall Statistics
Total Orders
10
Average Win
0.01%
Average Loss
0.00%
Compounding Annual Return
14.170%
Drawdown
4.600%
Expectancy
1.688
Start Equity
1000000
End Equity
1011563.56
Net Profit
1.156%
Sharpe Ratio
0.691
Sortino Ratio
0.763
Probabilistic Sharpe Ratio
45.516%
Loss Rate
25%
Win Rate
75%
Profit-Loss Ratio
2.58
Alpha
0.042
Beta
1.115
Annual Standard Deviation
0.157
Annual Variance
0.025
Information Ratio
1.361
Tracking Error
0.036
Treynor Ratio
0.098
Total Fees
$23.04
Estimated Strategy Capacity
$100000000.00
Lowest Capacity Asset
QQQ RIWIV7K5Z9LX
Portfolio Turnover
3.24%
Drawdown Recovery
11
 
# region imports
from AlgorithmImports import *
# endregion

class VirtualMagentaBeaver(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2021, 1, 1)
        self.set_end_date(2021, 2, 1)
        self.set_cash(1000000)
        self._month = -1
        spy = self.add_equity('SPY')
        qqq = self.add_equity('QQQ')
        self._targets = [PortfolioTarget(spy, 0.6), PortfolioTarget(qqq, 0.4)]
    
    def on_data(self, data):
        if not (data.time.hour == 9 and data.time.minute == 31):
            return
        self.set_holdings(self._targets)