Overall Statistics |
Total Trades 335 Average Win 0% Average Loss 0% Compounding Annual Return 34.811% Drawdown 49.000% Expectancy 0 Net Profit 49.459% Sharpe Ratio 0.778 Probabilistic Sharpe Ratio 31.087% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.107 Beta 1.773 Annual Standard Deviation 0.54 Annual Variance 0.291 Information Ratio 0.481 Tracking Error 0.507 Treynor Ratio 0.237 Total Fees $335.00 Estimated Strategy Capacity $380000000.00 Lowest Capacity Asset TSLA UNU3P8Y3WFAD |
class OptimizedTransdimensionalReplicator(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 10, 1) # Set Start Date self.SetCash(100000) # Set Strategy Cash tickers = ["AAPL", "MSFT", "TSLA"] self.symbols = [ Symbol.Create(ticker, SecurityType.Equity, Market.USA) for ticker in tickers] self.SetUniverseSelection(FineFundamentalUniverseSelectionModel(self.CoarseSelectionFunction, self.FineSelectionFunction)) self.UniverseSettings.Resolution = Resolution.Daily def func(self,x): return self.Securities[x].Fundamentals.ValuationRatios.NormalizedPERatio def OnData(self, data): selected = None selected = sorted(self.symbols,key = self.func,reverse = True)[0] if selected in data.Bars: self.MarketOrder(selected,1) def CoarseSelectionFunction(self, coarse): return self.symbols def FineSelectionFunction(self, fine): return self.symbols