Overall Statistics
Total Orders
1819
Average Win
0.20%
Average Loss
-0.30%
Compounding Annual Return
11.069%
Drawdown
31.200%
Expectancy
0.032
Start Equity
100000
End Equity
117103.77
Net Profit
17.104%
Sharpe Ratio
0.215
Sortino Ratio
0.245
Probabilistic Sharpe Ratio
19.876%
Loss Rate
38%
Win Rate
62%
Profit-Loss Ratio
0.66
Alpha
-0.078
Beta
1.361
Annual Standard Deviation
0.238
Annual Variance
0.057
Information Ratio
-0.317
Tracking Error
0.139
Treynor Ratio
0.038
Total Fees
$1846.62
Estimated Strategy Capacity
$100000000.00
Lowest Capacity Asset
COIN XNNJXSXHIHYD
Portfolio Turnover
17.88%
 
# 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.every_day(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)
        )