Overall Statistics
Total Trades
163
Average Win
0.41%
Average Loss
-0.22%
Compounding Annual Return
5.856%
Drawdown
15.500%
Expectancy
1.577
Net Profit
84.730%
Sharpe Ratio
0.768
Loss Rate
11%
Win Rate
89%
Profit-Loss Ratio
1.89
Alpha
0.036
Beta
0.159
Annual Standard Deviation
0.063
Annual Variance
0.004
Information Ratio
-0.179
Tracking Error
0.16
Treynor Ratio
0.305
Total Fees
$163.00
 
namespace QuantConnect 
{   
    public class DontLoseMoneySaysBuffet : QCAlgorithm
    {
        public override void Initialize() 
        {
            SetStartDate(2007, 1, 1);         
            SetEndDate(DateTime.Now);
            
            // cash allocation
            SetCash(10000);

            AddEquity("SPY", Resolution.Daily);
            AddEquity("GLD", Resolution.Daily);
            AddEquity("TLT", Resolution.Daily);
        }

		private DateTime _lastRebalance;
        public override void OnData(Slice data) 
        {
        	if (_lastRebalance != DateTime.MinValue && _lastRebalance.Month == Time.Month)
        		return;
        	
        	_lastRebalance = Time;
        	
            SetHoldings("SPY", 0.25);
            SetHoldings("GLD", 0.25);
            SetHoldings("TLT", 0.25);
        }
    }
}