Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
252.063%
Drawdown
12.100%
Expectancy
0
Start Equity
1000000
End Equity
2184697.21
Net Profit
118.470%
Sharpe Ratio
17.833
Sortino Ratio
37.371
Probabilistic Sharpe Ratio
100%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
1.328
Beta
0.093
Annual Standard Deviation
0.075
Annual Variance
0.006
Information Ratio
9.795
Tracking Error
0.122
Treynor Ratio
14.497
Total Fees
$2176.29
Estimated Strategy Capacity
$1100000.00
Lowest Capacity Asset
BIL TT1EBZ21QWKL
Portfolio Turnover
17.73%
 
# region imports
from AlgorithmImports import *
# endregion

class FocusedRedDinosaur(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2024, 1, 2)
        self.set_end_date(2024, 8, 15)
        self.set_cash(1000000) # 1M usd = 141M Yen Jan 1 2024
        self.add_equity("BIL", Resolution.DAILY, leverage=100, data_normalization_mode=DataNormalizationMode.RAW)  
        self.add_forex("USDEUR", Resolution.DAILY, leverage=100)
        self.schedule.on(self.date_rules.month_start(5), self.time_rules.at(12,00), self.trade)
        

    def on_data(self, data: Slice):
        if not self.portfolio.invested:
            pass
    
    def trade(self):
        if not self.portfolio.invested:
            self.set_holdings("BIL", 40)
            self.set_holdings("USDEUR", 40)
            self._interest_payment = -40_000_000 * (0.0025/12) # USD
        
        # deduct interest
        self.portfolio.cash_book['USD'].add_amount(self._interest_payment)
        self.log("hello")