Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
11.212%
Drawdown
17.900%
Expectancy
0
Start Equity
100000
End Equity
117320.16
Net Profit
17.320%
Sharpe Ratio
0.24
Sortino Ratio
0.257
Probabilistic Sharpe Ratio
30.704%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.026
Beta
0.745
Annual Standard Deviation
0.121
Annual Variance
0.015
Information Ratio
-0.665
Tracking Error
0.068
Treynor Ratio
0.039
Total Fees
$4.51
Estimated Strategy Capacity
$7000000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.18%
 
# region imports
from AlgorithmImports import *
# endregion

class CasualYellowGuanaco(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2023, 10, 14)
        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)