Overall Statistics
Total Orders
80
Average Win
0.88%
Average Loss
-0.63%
Compounding Annual Return
38.700%
Drawdown
29.200%
Expectancy
0.652
Start Equity
100000
End Equity
138824.78
Net Profit
38.825%
Sharpe Ratio
1.062
Sortino Ratio
0.999
Probabilistic Sharpe Ratio
47.514%
Loss Rate
31%
Win Rate
69%
Profit-Loss Ratio
1.40
Alpha
0.155
Beta
0.89
Annual Standard Deviation
0.282
Annual Variance
0.079
Information Ratio
0.999
Tracking Error
0.138
Treynor Ratio
0.336
Total Fees
$110.25
Estimated Strategy Capacity
$0
Lowest Capacity Asset
QQQ RIWIV7K5Z9LX
Portfolio Turnover
0.99%
Drawdown Recovery
110
 
# region imports
from AlgorithmImports import *
# endregion

class VirtualMagentaBeaver(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2020, 1, 1)
        self.set_end_date(2021, 1, 1)
        self.set_cash(100000)
        
        # Universe: Top 10 most liquid US equities
        self.universe_settings.resolution = Resolution.DAILY
        self._universe = self.add_universe(self.universe.top(10))
        
        # Rebalance monthly on the first trading day
        self.schedule.on(
            self.date_rules.month_start('SPY'), 
            self.time_rules.after_market_open('SPY', 1), 
            self._rebalance
        )

    def _rebalance(self):
        symbols = list(self._universe.selected)
        if not symbols:
            return
        targets = [PortfolioTarget(symbol, 1.0 / len(symbols)) for symbol in symbols]
        self.set_holdings(targets, True)