Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
11.333%
Drawdown
18.000%
Expectancy
0
Start Equity
100000
End Equity
117476.39
Net Profit
17.476%
Sharpe Ratio
0.243
Sortino Ratio
0.262
Probabilistic Sharpe Ratio
30.116%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.044
Beta
0.745
Annual Standard Deviation
0.126
Annual Variance
0.016
Information Ratio
-0.976
Tracking Error
0.071
Treynor Ratio
0.041
Total Fees
$4.38
Estimated Strategy Capacity
$11000000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.18%
 
# region imports
from AlgorithmImports import *
# endregion

class SleepyBlackBison(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2024, 1, 15)
        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)