| Overall Statistics |
|
Total Orders 2 Average Win 0% Average Loss 0% Compounding Annual Return 133.461% Drawdown 0.700% Expectancy 0 Start Equity 10000000 End Equity 10426979.4 Net Profit 4.270% Sharpe Ratio 14.698 Sortino Ratio 162.791 Probabilistic Sharpe Ratio 100% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.868 Beta -0.095 Annual Standard Deviation 0.056 Annual Variance 0.003 Information Ratio 1.861 Tracking Error 0.146 Treynor Ratio -8.626 Total Fees $305.30 Estimated Strategy Capacity $4100000000.00 Lowest Capacity Asset NQ Y6URRFPZ86BL Portfolio Turnover 16.30% |
# region imports
from AlgorithmImports import *
# endregion
class FocusedFluorescentYellowGoshawk(QCAlgorithm):
def initialize(self):
self.set_start_date(2023, 1, 7)
self.set_end_date(2023, 1, 24)
self.set_cash(10000000)
tickers = [
Futures.Indices.NASDAQ_100_E_MINI,
Futures.Indices.SP_500_E_MINI
]
self._futures = []
for ticker in tickers:
future = self.add_future(ticker)
self.log(f"{future.symbol}: {future.symbol_properties.contract_multiplier}")
self._futures.append(future)
def on_data(self, data):
if not self.portfolio.invested:
self.set_holdings(self._futures[0].mapped, 0.1)
self.set_holdings(self._futures[1].mapped, -0.1)