| Overall Statistics |
|
Total Orders 21 Average Win 5.08% Average Loss -1.48% Compounding Annual Return 26.902% Drawdown 31.400% Expectancy 2.318 Start Equity 100000 End Equity 143092.38 Net Profit 43.092% Sharpe Ratio 0.646 Sortino Ratio 0.747 Probabilistic Sharpe Ratio 37.298% Loss Rate 25% Win Rate 75% Profit-Loss Ratio 3.42 Alpha 0.014 Beta 1.54 Annual Standard Deviation 0.248 Annual Variance 0.062 Information Ratio 0.511 Tracking Error 0.128 Treynor Ratio 0.104 Total Fees $21.01 Estimated Strategy Capacity $150000000.00 Lowest Capacity Asset TQQQ UK280CGTCB51 Portfolio Turnover 0.28% |
# 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.year_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)
)