Overall Statistics
Total Trades
3
Average Win
0.83%
Average Loss
0%
Compounding Annual Return
1.245%
Drawdown
0.200%
Expectancy
0
Net Profit
6.393%
Sharpe Ratio
2.167
Probabilistic Sharpe Ratio
98.976%
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
0.01
Beta
0
Annual Standard Deviation
0.005
Annual Variance
0
Information Ratio
-0.867
Tracking Error
0.17
Treynor Ratio
28.546
Total Fees
$14.62
Estimated Strategy Capacity
$2900000.00
Lowest Capacity Asset
SHV TP8J6Z7L419H
 
# PSR 98.976%
# ----------------------
ASSETS = ['QQQ', 'SHV'];
# ----------------------

class HighestCorrelatedPair(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2016, 5, 9)
        self.SetEndDate(2021, 5, 10)
        self.SetCash(100000)
        self.assets =  [self.AddEquity(ticker, Resolution.Daily).Symbol for ticker in ASSETS]
        self.invested = 0

        
    def OnData(self, data):
        if not self.invested:
            self.SetHoldings(self.assets[0], 1) 
            self.SetHoldings(self.assets[1], 0) 
            self.invested = 1
        else:
            self.SetHoldings(self.assets[1], 1)  
            self.SetHoldings(self.assets[0], 0)