Overall Statistics
Total Trades
4
Average Win
0%
Average Loss
-5.08%
Compounding Annual Return
-9.886%
Drawdown
14.100%
Expectancy
-1
Net Profit
-9.911%
Sharpe Ratio
-0.707
Probabilistic Sharpe Ratio
1.157%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.051
Beta
-0.087
Annual Standard Deviation
0.093
Annual Variance
0.009
Information Ratio
-0.74
Tracking Error
0.315
Treynor Ratio
0.753
Total Fees
$140.00
Estimated Strategy Capacity
$210000000.00
Lowest Capacity Asset
GOOCV VP83T1ZUHROL
Portfolio Turnover
0.67%
 
# region imports
from AlgorithmImports import *
# endregion

class GeekySkyBlueGorilla(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 1)  # Set Start Date
        self.SetEndDate(2021, 1, 1)  # Set End Date
        self.SetCash(1000000)  # Set Strategy Cash
        self.goog = self.AddEquity("GOOG", Resolution.Daily).Symbol
        self.amzn = self.AddEquity("AMZN", Resolution.Daily).Symbol

        self

        self.FirstDay = None

    def OnData(self, data: Slice):
        if not self.Portfolio.Invested and self.FirstDay is None:
            self.MarketOrder(self.goog, 6000)
            self.MarketOrder(self.amzn, -8000)
            self.FirstDay = {self.goog:data[self.goog].Price,
                            self.amzn:data[self.amzn].Price}
            return 
        elif self.Portfolio.Invested and self.Portfolio.TotalUnrealizedProfit < -100000:
            self.Liquidate()