Overall Statistics
Total Trades
2275
Average Win
0.14%
Average Loss
-0.13%
Compounding Annual Return
12.932%
Drawdown
62.800%
Expectancy
0.767
Net Profit
350.401%
Sharpe Ratio
0.516
Probabilistic Sharpe Ratio
1.883%
Loss Rate
15%
Win Rate
85%
Profit-Loss Ratio
1.08
Alpha
0.167
Beta
-0.149
Annual Standard Deviation
0.3
Annual Variance
0.09
Information Ratio
0.201
Tracking Error
0.369
Treynor Ratio
-1.039
Total Fees
$2281.42
Estimated Strategy Capacity
$170000000.00
Lowest Capacity Asset
GOOCV VP83T1ZUHROL
 
STOCKS = ['GOOGL','GOOG','FB']

class DeterminedApricotJackal(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2008, 1, 1)  
        self.SetEndDate(2020, 5, 13)             
        self.SetCash(100000)
        self.STOCKS = [self.AddEquity(ticker, Resolution.Daily).Symbol for ticker in STOCKS]
        # self.Schedule.On(self.DateRules.MonthStart(self.STOCKS[0]), self.TimeRules.AfterMarketOpen(self.STOCKS[0], 1), self.daily_check)
        
        
    def OnData(self, data):
        tradable = []

        for sec in self.STOCKS:
            if self.CurrentSlice.ContainsKey(sec) and self.CurrentSlice[sec] is not None :
                tradable.append(sec)
        for sec in tradable:        
            self.SetHoldings(sec, 1 / len(tradable))