Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
11.965%
Drawdown
16.900%
Expectancy
0
Start Equity
100000
End Equity
118555.24
Net Profit
18.555%
Sharpe Ratio
0.252
Sortino Ratio
0.266
Probabilistic Sharpe Ratio
32.301%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.017
Beta
0.698
Annual Standard Deviation
0.117
Annual Variance
0.014
Information Ratio
-0.532
Tracking Error
0.07
Treynor Ratio
0.042
Total Fees
$4.41
Estimated Strategy Capacity
$8500000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.18%
Drawdown Recovery
228
 
# region imports
from AlgorithmImports import *
# endregion

class EmotionalBlueSeahorse(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2024, 7, 5)
        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)