Overall Statistics
Total Trades
37
Average Win
9.71%
Average Loss
-3.60%
Compounding Annual Return
16.738%
Drawdown
13.900%
Expectancy
2.447
Net Profit
274.427%
Sharpe Ratio
1.161
Loss Rate
7%
Win Rate
93%
Profit-Loss Ratio
2.69
Alpha
0.325
Beta
-7.963
Annual Standard Deviation
0.142
Annual Variance
0.02
Information Ratio
1.02
Tracking Error
0.142
Treynor Ratio
-0.021
Total Fees
$111.17
class WorldCupSponsorship(QCAlgorithm):
    
    def Initialize(self):
        self.SetStartDate(2010, 1, 1) 
        self.SetEndDate(2018, 7, 11) 
        self.SetCash(100000) 
        self.SetBenchmark("SPY")
        
        self.all_symbols = ["BUD","MCD","V","KO","MA","FOXA","DIS","NKE","SNE","JNJ","PG","PHG"]
        self.symbols = { 
            2018 : ["BUD","MCD","V","KO","MA","FOXA","NKE"],
            2014 : ["BUD","MCD","V","KO","FOXA","NKE","SNE","JNJ"],
            2010 : ["BUD","MCD","V","KO","DIS","NKE","SNE"],
            2006 : ["YHOO","MCD","KO","DIS","NKE","PG","PHG"]
        }
        
        for symbol in self.all_symbols:
            self.AddEquity(symbol, Resolution.Hour)
            
        self.Schedule.On(self.DateRules.On(2010,5,14), self.TimeRules.At(10, 0), self.Rebalance)
        self.Schedule.On(self.DateRules.On(2014,5,14), self.TimeRules.At(10, 0), self.Rebalance)
        self.Schedule.On(self.DateRules.On(2018,5,14), self.TimeRules.At(10, 0), self.Rebalance)
        
    def Rebalance(self):
        self.Liquidate()
        comps = self.symbols[self.Time.year]
        weight = 1/(len(comps))
        for symbol in comps:
            self.Debug(str(self.Time) + symbol)
            stock = self.Securities[symbol].Symbol
            self.SetHoldings(stock, weight)
        
    def OnData(self, data):
        pass