Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return -73.925% Drawdown 21.100% Expectancy 0 Net Profit -9.687% Sharpe Ratio -1.804 Probabilistic Sharpe Ratio 9.041% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.171 Beta 1.45 Annual Standard Deviation 0.329 Annual Variance 0.108 Information Ratio -0.423 Tracking Error 0.156 Treynor Ratio -0.409 Total Fees $6.68 Estimated Strategy Capacity $160000000.00 Lowest Capacity Asset AAPL R735QTJ8XC9X |
# Your New Python File
from AlgorithmImports import * class VirtualOrangeAlbatross(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 2, 1) # Set Start Date self.SetEndDate(2020, 3, 1) # Set End Date self.SetCash(100000) # Set Strategy Cash tickers = ['AAPL', 'MSFT', 'AMZN', 'GOOGL', 'GOOG', 'TSLA', 'NVDA', 'BRK.B', 'UNH', 'JNJ', 'JPM', 'XOM', 'BAC', 'CVX', 'DIS', 'PFE', 'ABBV', 'AVGO', 'CSCO', 'COST', 'PEP', 'ADBE', 'TMO', 'CMCSA', 'ABT', 'WFC', 'CRM', 'AMD', 'ACN', 'LLY', 'INTC', 'MRK', 'QCOM', 'WMT', 'MCD', 'DHR', 'NKE', 'NFLX', 'UNP', 'TXN', 'NEE', 'RTX', 'UPS', 'LOW', 'BMY', 'LIN', 'MDT', 'CVS', 'INTU', 'PYPL', 'HON', 'AMGN', 'SCHW', 'COP', 'ORCL', 'AXP', 'AMAT', 'NOW', 'IBM', 'ANTM', 'SBUX', 'PLD', 'LMT', 'BLK', 'ISRG', 'AMT', 'CAT', 'TGT', 'ZTS', 'MDLZ', 'SPGI', 'BKNG', 'SYK', 'ADP', 'ADI', 'MMM', 'CME', 'PNC', 'TFC', 'TJX', 'LRCX', 'MMC', 'BDX', 'DUK', 'USB', 'GILD', 'CSX', 'CHTR', 'TMUS', 'CCI', 'ICE', 'FCX', 'EOG', 'NOC', 'REGN', 'COF', 'AON', 'EQIX', 'ATVI', 'SHW', 'BSX', 'NSC', 'PGR', 'ITW', 'ETN', 'HCA', 'VRTX', 'FISV', 'FIS', 'HUM', 'EMR', 'FDX', 'PXD', 'PSA', 'SLB', 'MRNA', 'KLAC', 'NEM', 'APD', 'MCO', 'ILMN', 'AIG', 'NXPI', 'LHX', 'ADSK', 'MET', 'CNC', 'MPC', 'SNPS', 'ROP', 'FTNT', 'MAR', 'TEL', 'SRE', 'JCI', 'AEP', 'APH', 'SPG', 'CTSH', 'IDXX', 'SYY', 'IQV', 'KMB', 'ECL', 'ADM', 'DOW', 'ORLY', 'INFO', 'CMG', 'BAX', 'TRV', 'PRU', 'CDNS', 'MCK', 'HLT', 'EXC', 'MSCI', 'GIS', 'DXCM', 'HPQ', 'MCHP', 'AZO', 'GPN', 'CARR', 'DLR', 'WMB', 'PAYX', 'CTVA', 'ALGN', 'OXY', 'DVN', 'NUE', 'PSX', 'MSI', 'AFL', 'WELL', 'XEL', 'DFS', 'RMD', 'YUM', 'SIVB', 'STZ', 'TDG', 'ALL', 'APTV', 'VLO', 'EBAY', 'IFF', 'AMP', 'AVB', 'OTIS', 'SBAC', 'CTAS', 'KMI', 'AJG', 'TROW', 'PEG', 'FITB', 'ROST', 'CBRE', 'MTD', 'WBA', 'DLTR', 'PCAR', 'MNST', 'PPG', 'HAL', 'BIIB', 'GLW', 'FRC', 'ROK', 'MTCH', 'AME', 'FAST', 'OKE', 'HSY', 'CMI', 'ODFL', 'EQR', 'EXPE', 'BLL', 'KEYS', 'TWTR', 'WST', 'WEC', 'VRSK', 'ANSS', 'HES', 'DHI', 'WTW', 'ANET', 'AWK', 'CERN', 'TSN', 'DAL', 'ZBH', 'EFX', 'SWK', 'KHC', 'ARE', 'LUV', 'CPRT', 'LYB', 'EXR', 'RSG', 'BKR', 'EIX', 'LEN', 'VMC', 'STE', 'CHD', 'FANG', 'MKC', 'NTRS', 'MLM', 'SYF', 'HIG', 'MTB', 'DTE', 'MAA', 'CDW', 'URI', 'KEY', 'STT', 'FTV', 'TSCO', 'ALB', 'SWKS', 'PKI', 'HBAN', 'DOV', 'CFG', 'ZBRA', 'AEE', 'VTR', 'BBY', 'ENPH', 'ABC', 'ETR', 'STX', 'HPE', 'ESS', 'VRSN', 'GWW', 'ULTA', 'RJF', 'GNRC', 'DRE', 'COO', 'ETSY', 'NDAQ', 'TDY', 'MPWR', 'PPL', 'MOS', 'TER', 'WAT', 'CTRA', 'FLT', 'DRI', 'VFC', 'TTWO', 'RCL', 'CZR', 'CMS', 'CLX', 'CINF', 'POOL', 'OMC', 'MRO', 'HOLX', 'KMX', 'SBNY', 'AMCR', 'PARA', 'MGM', 'TRMB', 'CTLT', 'PFG', 'AKAM', 'BXP', 'TYL', 'EXPD', 'NTAP', 'GPC', 'WAB', 'CNP', 'SEDG', 'CAG', 'JBHT', 'PEAK', 'NLOK', 'GRMN', 'PAYC', 'LYV', 'TXT', 'XYL', 'DGX', 'NVR', 'WDC', 'EMN', 'TFX', 'UDR', 'BRO', 'DPZ', 'PWR', 'TECH', 'CCL', 'CAH', 'LVS', 'FDS', 'QRVO', 'CEG', 'CRL', 'FMC', 'SJM', 'ATO', 'KIM', 'MKTX', 'LNT', 'IEX', 'AVY', 'IPG', 'LDOS', 'IRM', 'ABMD', 'EVRG', 'BBWI', 'HWM', 'AES', 'PKG', 'MAS', 'BIO', 'VTRS', 'HRL', 'UAL', 'RHI', 'APA', 'HST', 'FOXA', 'JKHY', 'CTXS', 'AAP', 'CHRW', 'PHM', 'WRB', 'LKQ', 'HAS', 'CMA', 'CBOE', 'FFIV', 'NDSN', 'WHR', 'WRK', 'HSIC', 'INCY', 'BF.B', 'LNC', 'PTC', 'XRAY', 'FBHS', 'NWSA', 'EPAM', 'TPR', 'SNA', 'JNPR', 'ZION', 'UHS', 'TAP', 'ALLE', 'AAL', 'REG', 'SEE', 'BWA', 'AIZ', 'PNR', 'OGN', 'CPB', 'PBCT', 'NRG', 'AOS', 'NWL', 'CDAY', 'DISCK', 'LUMN', 'BEN', 'HII', 'FRT', 'PNW', 'WYNN', 'DISH', 'MHK', 'IVZ', 'ALK', 'DXC', 'PENN', 'ROL', 'DVA', 'PVH', 'NCLH', 'FOX', 'VNO', 'NLSN', 'DISCA', 'IPGP', 'UAA', 'GSKY', 'LEN.B', 'NWS'] for symbol in tickers: self.AddEquity(symbol, Resolution.Minute, fillDataForward = True, leverage = 0, extendedMarketHours = False) def OnData(self, data): """OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. Arguments: data: Slice object keyed by symbol containing the stock data """ if not self.Portfolio.Invested: self.SetHoldings("AAPL", 1) self.Debug("Purchased Stock")