Overall Statistics
Total Orders
5
Average Win
0%
Average Loss
0%
Compounding Annual Return
7.276%
Drawdown
24.700%
Expectancy
0
Start Equity
1000000
End Equity
2588902.68
Net Profit
158.890%
Sharpe Ratio
0.505
Sortino Ratio
0.546
Probabilistic Sharpe Ratio
11.683%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.012
Beta
0.286
Annual Standard Deviation
0.07
Annual Variance
0.005
Information Ratio
-0.411
Tracking Error
0.117
Treynor Ratio
0.124
Total Fees
$71.09
Estimated Strategy Capacity
$5700000.00
Lowest Capacity Asset
IEI TP8J6Z7L419H
Portfolio Turnover
0.02%
 
# region imports
from AlgorithmImports import *
# endregion
## This is the test of modified all-weather portofolio buy and hold
class FormalYellowGreenBull(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2011, 2, 1)
        self.set_cash(1000000)
        self.add_equity("SPY", Resolution.DAILY)
        self.add_equity("TLT", Resolution.DAILY)
        self.add_equity("IEI", Resolution.DAILY)
        self.add_equity("GLD", Resolution.DAILY)
        self.add_equity("DBC", Resolution.DAILY)

    def on_data(self, data: Slice):
        if not self.portfolio.invested:
            self.set_holdings("SPY", 0.30)
            self.set_holdings("TLT", 0.40)
            self.set_holdings("IEI", 0.15)
            self.set_holdings("GLD", 0.075)
            self.set_holdings("DBC", 0.075)