Overall Statistics
Total Trades
2359
Average Win
0.13%
Average Loss
-0.07%
Compounding Annual Return
-8.213%
Drawdown
8.100%
Expectancy
-0.049
Net Profit
-4.244%
Sharpe Ratio
-0.693
Probabilistic Sharpe Ratio
7.163%
Loss Rate
66%
Win Rate
34%
Profit-Loss Ratio
1.82
Alpha
-0.049
Beta
0.276
Annual Standard Deviation
0.078
Annual Variance
0.006
Information Ratio
-0.25
Tracking Error
0.149
Treynor Ratio
-0.196
Total Fees
$2365.99
Estimated Strategy Capacity
$98000000.00
Lowest Capacity Asset
IBM R735QTJ8XC9X
 
# region imports
from AlgorithmImports import *
# endregion

class CalculatingApricotFlamingo(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2022, 8, 23)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Hour)
        self.AddEquity("IBM", Resolution.Hour)
        
    def OnData(self, data: Slice):
        self.SetHoldings([PortfolioTarget("SPY", 0.8), PortfolioTarget("IBM", 0.2)], True)