Overall Statistics
Total Trades
38
Average Win
0.04%
Average Loss
0.00%
Compounding Annual Return
184.181%
Drawdown
0.000%
Expectancy
25.972
Net Profit
2.023%
Sharpe Ratio
22.071
Probabilistic Sharpe Ratio
100.000%
Loss Rate
12%
Win Rate
88%
Profit-Loss Ratio
29.82
Alpha
1.888
Beta
0.193
Annual Standard Deviation
0.079
Annual Variance
0.006
Information Ratio
10.347
Tracking Error
0.238
Treynor Ratio
9.077
Total Fees
$80.02
 
class NadionTachyonChamber(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 9, 5)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddUniverse(self.CoarseSelection)
        self.UniverseSettings.Resolution = Resolution.Daily
        self.curr_month = -1
        
    def OnData(self, data):
        symbols = [x.Symbol for x in self.ActiveSecurities.Values]
        
        for symbol in symbols:
            self.SetHoldings(symbol, 1/len(symbols))
            
    def CoarseSelection(self, coarse):
        if self.curr_month == self.Time.month:
            return Universe.Unchanged
        
        self.curr_month = self.Time.month
        
        return [c.Symbol for c in coarse][:10]