Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return -1.895% Drawdown 1.500% Expectancy 0 Net Profit -1.416% Sharpe Ratio -9.239 Sortino Ratio -12.153 Probabilistic Sharpe Ratio 0.171% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.059 Beta -0.068 Annual Standard Deviation 0.007 Annual Variance 0 Information Ratio -1.767 Tracking Error 0.103 Treynor Ratio 0.983 Total Fees $1.00 Estimated Strategy Capacity $8500000000.00 Lowest Capacity Asset QQQ RIWIV7K5Z9LX Portfolio Turnover 0.02% |
# region imports from AlgorithmImports import * # endregion class CustomShortableProviderAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2023, 4, 1) self.SetCash(100000) self.security = self.AddEquity("QQQ", Resolution.Daily) self.security.SetShortableProvider(MyShortableProvider()) def OnData(self, data: Slice): if not self.Portfolio.Invested and self.Shortable(self.security.Symbol): self.SetHoldings(self.security.Symbol, -0.05) class MyShortableProvider(NullShortableProvider): def AllShortableSymbols(self, localTime: datetime) -> Dict[Symbol,float]: return { Symbol.Create("SPY", SecurityType.Equity, Market.USA): 0, Symbol.Create("AAPL", SecurityType.Equity, Market.USA): 10 } def ShortableQuantity(self, symbol: Symbol, localTime: datetime) -> float: return 10000