Overall Statistics
Total Orders
271
Average Win
0%
Average Loss
0%
Compounding Annual Return
36.478%
Drawdown
48.200%
Expectancy
0
Start Equity
500
End Equity
1633224.19
Net Profit
326544.839%
Sharpe Ratio
0.867
Sortino Ratio
1.332
Probabilistic Sharpe Ratio
9.261%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0.308
Annual Variance
0.095
Information Ratio
0.944
Tracking Error
0.308
Treynor Ratio
0
Total Fees
$271.00
Estimated Strategy Capacity
$38000000.00
Lowest Capacity Asset
QQQ RIWIV7K5Z9LX
Portfolio Turnover
0.06%
Drawdown Recovery
749
 
from AlgorithmImports import *


class QQQDCACAlgorithm(QCAlgorithm):

    def initialize(self):
        self.set_cash(500)
        self.set_start_date(2000, 1, 1)
        self.set_brokerage_model(BrokerageName.INTERACTIVE_BROKERS_BROKERAGE, AccountType.CASH)
        self.etf_symbol = self.add_equity('QQQ', Resolution.MINUTE).symbol

        self.schedule.on(self.date_rules.month_end(self.etf_symbol),
                         self.time_rules.before_market_close(self.etf_symbol, 30),
                         self._allocate)

    def _allocate(self):
        self.portfolio.cash_book["USD"].add_amount(500)
        self.set_holdings(self.etf_symbol, 1)