Overall Statistics
Total Trades
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
7.693%
Drawdown
19.300%
Expectancy
0
Net Profit
11.670%
Sharpe Ratio
0.459
Probabilistic Sharpe Ratio
20.883%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.013
Beta
0.836
Annual Standard Deviation
0.129
Annual Variance
0.017
Information Ratio
-0.448
Tracking Error
0.061
Treynor Ratio
0.071
Total Fees
$4.34
Estimated Strategy Capacity
$12000000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
 
class WellDressedRedOrangeCormorant(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 11, 30)  # 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):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
            Arguments:
                data: Slice object keyed by symbol containing the stock data
        '''

        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 0.33)
            self.SetHoldings("BND", 0.33)
            self.SetHoldings("AAPL", 0.33)