Overall Statistics
Total Orders
147
Average Win
0.50%
Average Loss
-0.78%
Compounding Annual Return
18.164%
Drawdown
31.600%
Expectancy
0.077
Start Equity
100000
End Equity
128533.17
Net Profit
28.533%
Sharpe Ratio
0.417
Sortino Ratio
0.48
Probabilistic Sharpe Ratio
27.586%
Loss Rate
34%
Win Rate
66%
Profit-Loss Ratio
0.64
Alpha
-0.04
Beta
1.458
Annual Standard Deviation
0.238
Annual Variance
0.057
Information Ratio
0.033
Tracking Error
0.121
Treynor Ratio
0.068
Total Fees
$153.42
Estimated Strategy Capacity
$130000000.00
Lowest Capacity Asset
TQQQ UK280CGTCB51
Portfolio Turnover
1.34%
 
# region imports
from AlgorithmImports import *
# endregion

class UpgradedBlackFlamingo(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2023, 12, 3)
        self.set_cash(100000)
        self._universe = self.add_universe(self.universe.dollar_volume.top(10))
        spy = Symbol.create('SPY', SecurityType.EQUITY, Market.USA)
        self.schedule.on(
            self.date_rules.month_start(spy),  # every_day, week_start, month_start, year_start
            self.time_rules.after_market_open(spy, 1),
            lambda: self.set_holdings([PortfolioTarget(symbol, 0.1) for symbol in self._universe.selected], True)
        )