| Overall Statistics |
|
Total Orders 201 Average Win 0% Average Loss -7.03% Compounding Annual Return -100.000% Drawdown 74.400% Expectancy -1 Start Equity 100000 End Equity 44024.35 Net Profit -55.976% Sharpe Ratio -0.662 Sortino Ratio -0.497 Probabilistic Sharpe Ratio 0.001% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -1.297 Beta 1.325 Annual Standard Deviation 1.513 Annual Variance 2.29 Information Ratio -0.816 Tracking Error 1.501 Treynor Ratio -0.756 Total Fees $46.59 Estimated Strategy Capacity $190000.00 Lowest Capacity Asset BND TRO5ZARLX6JP Portfolio Turnover 26.66% |
# region imports from AlgorithmImports import * # endregion class MeasuredYellowTapir(QCAlgorithm): def initialize(self): self.set_start_date(2021, 1, 20) self.set_end_date(2021, 2, 10) self.set_cash(100000) self._tickers = ['GME', 'BND', 'AAPL'] for t in self._tickers: self.add_equity(t, extended_market_hours=True) def on_data(self, data: Slice): if not self.portfolio.invested and self.time.hour == 10: for t in self._tickers: self.set_holdings(t, -0.33) def on_end_of_day(self): for symbol, holding in self.portfolio.items(): self.plot('Quantities', str(symbol.id), holding.quantity)
