Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
-1.895%
Drawdown
1.500%
Expectancy
0
Net Profit
-1.416%
Sharpe Ratio
-9.239
Sortino Ratio
-12.153
Probabilistic Sharpe Ratio
0.171%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.059
Beta
-0.068
Annual Standard Deviation
0.007
Annual Variance
0
Information Ratio
-1.767
Tracking Error
0.103
Treynor Ratio
0.983
Total Fees
$1.00
Estimated Strategy Capacity
$8500000000.00
Lowest Capacity Asset
QQQ RIWIV7K5Z9LX
Portfolio Turnover
0.02%
 
# region imports
from AlgorithmImports import *
# endregion

class CustomShortableProviderAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2023, 4, 1)
        self.SetCash(100000)

        self.security = self.AddEquity("QQQ", Resolution.Daily)
        self.security.SetShortableProvider(MyShortableProvider())

    def OnData(self, data: Slice):
        if not self.Portfolio.Invested and self.Shortable(self.security.Symbol):
            self.SetHoldings(self.security.Symbol, -0.05)


class MyShortableProvider(NullShortableProvider):

    def AllShortableSymbols(self, localTime: datetime) -> Dict[Symbol,float]:
        return {
            Symbol.Create("SPY", SecurityType.Equity, Market.USA): 0,
            Symbol.Create("AAPL", SecurityType.Equity, Market.USA): 10
        }
    
    def ShortableQuantity(self, symbol: Symbol, localTime: datetime) -> float:
        return 10000