Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
11.690%
Drawdown
17.900%
Expectancy
0
Start Equity
100000
End Equity
118079.62
Net Profit
18.080%
Sharpe Ratio
0.23
Sortino Ratio
0.252
Probabilistic Sharpe Ratio
30.739%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.007
Beta
0.723
Annual Standard Deviation
0.119
Annual Variance
0.014
Information Ratio
-0.012
Tracking Error
0.087
Treynor Ratio
0.038
Total Fees
$4.51
Estimated Strategy Capacity
$8800000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.18%
 
# region imports
from AlgorithmImports import *
# endregion

class MeasuredGreenHornet(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2023, 10, 9)
        self.set_cash(100000)
        self.add_equity("SPY", Resolution.MINUTE)
        self.add_equity("BND", Resolution.MINUTE)
        self.add_equity("AAPL", Resolution.MINUTE)

    def on_data(self, data: Slice):
        if not self.portfolio.invested:
            self.set_holdings("SPY", 0.33)
            self.set_holdings("BND", 0.33)
            self.set_holdings("AAPL", 0.33)