Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
9.460%
Drawdown
17.800%
Expectancy
0
Start Equity
100000
End Equity
114496.14
Net Profit
14.496%
Sharpe Ratio
0.18
Sortino Ratio
0.193
Probabilistic Sharpe Ratio
28.002%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.03
Beta
0.742
Annual Standard Deviation
0.121
Annual Variance
0.015
Information Ratio
-0.71
Tracking Error
0.068
Treynor Ratio
0.029
Total Fees
$4.50
Estimated Strategy Capacity
$4700000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.18%
 
# region imports
from AlgorithmImports import *
# endregion

class FocusedVioletDogfish(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2023, 10, 13)
        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)