| Overall Statistics |
|
Total Orders 1 Average Win 0% Average Loss 0% Compounding Annual Return 3.823% Drawdown 3.100% Expectancy 0 Start Equity 100000 End Equity 105805.40 Net Profit 5.805% Sharpe Ratio -1.03 Sortino Ratio -1.345 Probabilistic Sharpe Ratio 47.450% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.041 Beta 0.129 Annual Standard Deviation 0.028 Annual Variance 0.001 Information Ratio -1.262 Tracking Error 0.098 Treynor Ratio -0.22 Total Fees $1.90 Estimated Strategy Capacity $23000000.00 Lowest Capacity Asset NB R735QTJ8XC9X Portfolio Turnover 0.02% |
# region imports from AlgorithmImports import * # endregion class MyUniverseAlgorithm(QCAlgorithm): def initialize(self) -> None: self.set_start_date(2023, 10, 1) self.universe_settings.asynchronous = True # Add a fundamental universe with a custom filter function. self._universe = self.add_universe(self._fundamental_function) def _fundamental_function(self, fundamental: list[Fundamental]) -> list[Symbol]: # Select US Equities that have fundamental data. return [c.symbol for c in fundamental if c.symbol.value == 'BAC' ] def on_data(self, slice): if not self.portfolio.invested: self.set_holdings([PortfolioTarget(x, 0.1) for x in self._universe.selected])
