Overall Statistics
Total Trades
2392
Average Win
0.06%
Average Loss
-0.09%
Compounding Annual Return
12.276%
Drawdown
43.400%
Expectancy
0.421
Net Profit
89.139%
Sharpe Ratio
0.645
Probabilistic Sharpe Ratio
16.423%
Loss Rate
17%
Win Rate
83%
Profit-Loss Ratio
0.72
Alpha
0.131
Beta
-0.111
Annual Standard Deviation
0.185
Annual Variance
0.034
Information Ratio
0.042
Tracking Error
0.263
Treynor Ratio
-1.073
Total Fees
$2403.44
 
class DynamicOptimizedAutosequencers(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2015, 2, 4)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity('UPRO', Resolution.Daily)
        self.AddEquity('LQD', Resolution.Daily)
        self.SetBenchmark('SPY')

    def OnData(self, data):
        self.SetHoldings('UPRO', .333)
        self.SetHoldings('LQD', .666)