| Overall Statistics |
|
Total Orders 1844 Average Win 0.28% Average Loss -0.18% Compounding Annual Return 10.873% Drawdown 61.300% Expectancy 0.765 Start Equity 100000 End Equity 277953.38 Net Profit 177.953% Sharpe Ratio 0.345 Sortino Ratio 0.397 Probabilistic Sharpe Ratio 1.131% Loss Rate 32% Win Rate 68% Profit-Loss Ratio 1.58 Alpha -0.008 Beta 1.343 Annual Standard Deviation 0.272 Annual Variance 0.074 Information Ratio 0.093 Tracking Error 0.195 Treynor Ratio 0.07 Total Fees $2479.62 Estimated Strategy Capacity $3000.00 Lowest Capacity Asset UTSI RSQ0CRVRG485 Portfolio Turnover 0.43% |
# region imports
from AlgorithmImports import *
# endregion
class HipsterVioletRabbit(QCAlgorithm):
def initialize(self):
self.set_start_date(2014, 9, 10) # Set Start Date
self.set_cash(100000) # Set Strategy Cash
self.add_universe(self.my_coarse_filter_function, self.my_fine_fundamental_function)
self.month = None
def my_coarse_filter_function(self, coarse):
return [c.symbol for c in coarse if c.dollar_volume > 1e7]
def my_fine_fundamental_function(self, fine):
tech = [x for x in fine if x.asset_classification.morningstar_sector_code == MorningstarSectorCode.TECHNOLOGY]
unprofitable = [x for x in tech if x.financial_statements.income_statement.normalized_income_as_reported.three_months <= 0]
sorted_revenue = sorted(unprofitable, key=lambda f: f.financial_statements.income_statement.total_revenue.one_month, reverse=True)
return [f.symbol for f in sorted_revenue[:50]]
def on_data(self, data):
if self.month == self.time.month:
return
self.month = self.time.month
securities = data.Keys
n_securities = len(securities)
for s in securities:
self.set_holdings(s, 1 / n_securities)