Overall Statistics
Total Trades
116
Average Win
2.06%
Average Loss
-1.18%
Compounding Annual Return
92.615%
Drawdown
14.200%
Expectancy
0.544
Net Profit
38.651%
Sharpe Ratio
2.928
Probabilistic Sharpe Ratio
81.765%
Loss Rate
44%
Win Rate
56%
Profit-Loss Ratio
1.75
Alpha
0.78
Beta
0.001
Annual Standard Deviation
0.267
Annual Variance
0.071
Information Ratio
1.534
Tracking Error
0.49
Treynor Ratio
670.511
Total Fees
$116.00
 
from random import random

class ModulatedMultidimensionalContainmentField(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 12, 21)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        
        self.spy = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.tsla = self.AddEquity("TSLA", Resolution.Daily).Symbol
        
        self.strategy_1_portion = 0.1
        self.strategy_2_portion = 0.9


    def OnData(self, data):
        # Strategy #1
        if random() > 0.5:
            if not self.Portfolio[self.spy].Invested:
                self.SetHoldings(self.spy, random() * self.strategy_1_portion)
        else:
            self.SetHoldings(self.spy, 0)
        
        # Strategy #2
        if random() > 0.5:
            if not self.Portfolio[self.tsla].Invested:
                self.SetHoldings(self.tsla, random() * self.strategy_2_portion)
        else:
            self.SetHoldings(self.tsla, 0)