Overall Statistics
Total Orders
2
Average Win
0%
Average Loss
0%
Compounding Annual Return
1790.231%
Drawdown
2.500%
Expectancy
0
Start Equity
100000
End Equity
128011.97
Net Profit
28.012%
Sharpe Ratio
19.704
Sortino Ratio
777.413
Probabilistic Sharpe Ratio
99.975%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
7.484
Beta
0.337
Annual Standard Deviation
0.379
Annual Variance
0.144
Information Ratio
19.535
Tracking Error
0.384
Treynor Ratio
22.168
Total Fees
$15.57
Estimated Strategy Capacity
$420000000.00
Lowest Capacity Asset
TSLA UNU3P8Y3WFAD
Portfolio Turnover
3.20%
Drawdown Recovery
5
 
# 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):
        if self._equity.symbol not in data.bars or not self._equity.roc.is_ready:
            return
        self.set_holdings(self._equity, 1 if self._equity.roc.current.value > 0 else -0.25)