Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
15.260%
Drawdown
10.200%
Expectancy
0
Start Equity
100000
End Equity
123797.13
Net Profit
23.797%
Sharpe Ratio
0.634
Sortino Ratio
0.907
Probabilistic Sharpe Ratio
57.392%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.023
Beta
0.755
Annual Standard Deviation
0.095
Annual Variance
0.009
Information Ratio
-0.888
Tracking Error
0.056
Treynor Ratio
0.079
Total Fees
$4.48
Estimated Strategy Capacity
$8700000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.18%
 
# region imports
from AlgorithmImports import *
# endregion

class UpgradedTanBear(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2022, 12, 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)