Overall Statistics
Total Trades
157
Average Win
0.44%
Average Loss
-0.24%
Compounding Annual Return
6.943%
Drawdown
13.300%
Expectancy
1.504
Net Profit
106.231%
Sharpe Ratio
0.898
Loss Rate
13%
Win Rate
87%
Profit-Loss Ratio
1.88
Alpha
0.047
Beta
0.126
Annual Standard Deviation
0.063
Annual Variance
0.004
Information Ratio
-0.123
Tracking Error
0.167
Treynor Ratio
0.453
Total Fees
$157.00
 
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("TLT", Resolution.Daily);
            AddEquity("IEF", Resolution.Daily);
            AddEquity("GLD", Resolution.Daily);
            AddEquity("PCRCX", Resolution.Daily);
        }

		private DateTime _lastRebalance;
        public override void OnData(Slice data) 
        {
        	if (_lastRebalance != DateTime.MinValue && _lastRebalance.Month == Time.Month)
        		return;
        	
        	_lastRebalance = Time;
        	
            SetHoldings("SPY", 0.3);
            SetHoldings("TLT", 0.4);
            SetHoldings("IEF", 0.15);
            SetHoldings("GLD", 0.075);
            SetHoldings("PCRCX", 0.075);
        }
    }
}