Overall Statistics
Total Orders
574
Average Win
0.33%
Average Loss
-0.46%
Compounding Annual Return
22.199%
Drawdown
32.000%
Expectancy
0.153
Start Equity
100000
End Equity
135190.89
Net Profit
35.191%
Sharpe Ratio
0.535
Sortino Ratio
0.64
Probabilistic Sharpe Ratio
33.118%
Loss Rate
33%
Win Rate
67%
Profit-Loss Ratio
0.72
Alpha
-0.008
Beta
1.4
Annual Standard Deviation
0.235
Annual Variance
0.055
Information Ratio
0.241
Tracking Error
0.126
Treynor Ratio
0.09
Total Fees
$586.87
Estimated Strategy Capacity
$37000000.00
Lowest Capacity Asset
MSTR RBGP9S2961YD
Portfolio Turnover
4.98%
 
# 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.week_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)
        )