Overall Statistics
Total Trades
14
Average Win
0.30%
Average Loss
-1.06%
Compounding Annual Return
-29.766%
Drawdown
5.500%
Expectancy
-0.360
Net Profit
-2.768%
Sharpe Ratio
-2.052
Probabilistic Sharpe Ratio
15.179%
Loss Rate
50%
Win Rate
50%
Profit-Loss Ratio
0.28
Alpha
-0.242
Beta
-0.009
Annual Standard Deviation
0.118
Annual Variance
0.014
Information Ratio
-1.32
Tracking Error
0.177
Treynor Ratio
28.115
Total Fees
$14.00
Estimated Strategy Capacity
$400000000.00
Lowest Capacity Asset
COIN XNNJXSXHIHYD
 
import pandas as pd

class CrawlingMagentaCaterpillar(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 4, 16)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        
        self.UniverseSettings.Resolution = Resolution.Daily
        self.AddUniverse(self.Universe.DollarVolume.Top(3))
        
        self.data = pd.DataFrame()
        
    def OnData(self, data):
        for symbol in self.Portfolio.Keys:
            if not self.Portfolio[symbol].Invested:
                continue
            self.data = self.data.append(pd.DataFrame({'time': [str(self.Time.date())], 
                                                       'symbol': [str(symbol)], 
                                                       'quantity': [self.Portfolio[symbol].Quantity]}),
                                                       ignore_index=True)

    def OnSecuritiesChanged(self, changes):
        for security in changes.RemovedSecurities:
            symbol = security.Symbol
            self.Liquidate(symbol)
        
        for security in changes.AddedSecurities:
            self.SetHoldings(security.Symbol, 0.25)

    def OnEndOfAlgorithm(self):
        self.ObjectStore.Save('data', self.data.to_json())