Overall Statistics
Total Orders
548
Average Win
0.56%
Average Loss
-0.14%
Compounding Annual Return
11.698%
Drawdown
38.400%
Expectancy
3.673
Start Equity
100000
End Equity
841199.64
Net Profit
741.200%
Sharpe Ratio
0.548
Sortino Ratio
0.589
Probabilistic Sharpe Ratio
5.338%
Loss Rate
4%
Win Rate
96%
Profit-Loss Ratio
3.89
Alpha
0.025
Beta
0.687
Annual Standard Deviation
0.121
Annual Variance
0.015
Information Ratio
0.083
Tracking Error
0.073
Treynor Ratio
0.096
Total Fees
$556.12
Estimated Strategy Capacity
$8600000.00
Lowest Capacity Asset
GLD T3SKPOF94JFP
Portfolio Turnover
0.09%
 
# region imports
from AlgorithmImports import *
# endregion

class EqualWeightedPortfolio(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2005, 1, 1)
        self.SetCash(100000)
        self.symbols = [self.AddEquity(ticker).Symbol for ticker in ["SPY", "QQQ", "GLD"]]
        self.SetBenchmark("SPY")
        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
        self.Schedule.On(self.DateRules.MonthStart("SPY"), 
                 self.TimeRules.AfterMarketOpen("SPY", 0), 
                 self.Rebalance)
        self.spyInitialPrice = None
        self.initialBenchmarkValue = None
        self.initialPortfolioValue = self.Portfolio.TotalPortfolioValue


    def Rebalance(self):
        # Perform rebalancing logic here
        for symbol in self.symbols:
            self.SetHoldings(symbol, 1/len(self.symbols))

    def OnData(self, data):
        pass