Overall Statistics
Total Trades
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
-1.722%
Drawdown
22.500%
Expectancy
0
Net Profit
-2.559%
Sharpe Ratio
-0.001
Probabilistic Sharpe Ratio
7.087%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.02
Beta
0.801
Annual Standard Deviation
0.154
Annual Variance
0.024
Information Ratio
0.401
Tracking Error
0.064
Treynor Ratio
-0
Total Fees
$4.13
Estimated Strategy Capacity
$9800000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.18%
 
# region imports
from AlgorithmImports import *
# endregion

class PensiveAsparagusKitten(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 9, 26)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)
        self.AddEquity("BND", Resolution.Minute)
        self.AddEquity("AAPL", Resolution.Minute)

    def OnData(self, data: Slice):
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 0.33)
            self.SetHoldings("BND", 0.33)
            self.SetHoldings("AAPL", 0.33)