Overall Statistics
Total Trades
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
-3.780%
Drawdown
22.600%
Expectancy
0
Net Profit
-5.628%
Sharpe Ratio
-0.122
Probabilistic Sharpe Ratio
4.873%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.011
Beta
0.792
Annual Standard Deviation
0.138
Annual Variance
0.019
Information Ratio
0.31
Tracking Error
0.06
Treynor Ratio
-0.021
Total Fees
$4.24
Estimated Strategy Capacity
$6500000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
 
# region imports
from AlgorithmImports import *
# endregion

class SleepyMagentaHornet(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 4, 18)  # 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)