Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
10.023%
Drawdown
17.600%
Expectancy
0
Start Equity
100000
End Equity
115469.51
Net Profit
15.470%
Sharpe Ratio
0.159
Sortino Ratio
0.172
Probabilistic Sharpe Ratio
26.582%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.05
Beta
0.736
Annual Standard Deviation
0.123
Annual Variance
0.015
Information Ratio
-1.065
Tracking Error
0.07
Treynor Ratio
0.027
Total Fees
$4.46
Estimated Strategy Capacity
$4800000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.18%
 
# region imports
from AlgorithmImports import *
# endregion

class SmoothApricotGoat(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2023, 11, 28)
        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)