Overall Statistics
Total Trades
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
21.361%
Drawdown
10.200%
Expectancy
0
Net Profit
24.732%
Sharpe Ratio
1.013
Sortino Ratio
1.48
Probabilistic Sharpe Ratio
72.445%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.008
Beta
0.759
Annual Standard Deviation
0.095
Annual Variance
0.009
Information Ratio
-0.743
Tracking Error
0.056
Treynor Ratio
0.127
Total Fees
$4.63
Estimated Strategy Capacity
$8200000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.24%
 
# region imports
from AlgorithmImports import *
# endregion

class UglyRedOrangeGoat(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2023, 1, 1)
        self.SetCash(100000)
        self.AddEquity("SPY", Resolution.Minute)
        self.AddEquity("BND", Resolution.Minute)
        self.AddEquity("AAPL", Resolution.Minute)

    def OnData(self, data: Slice):
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 0.33)
            self.SetHoldings("BND", 0.33)
            self.SetHoldings("AAPL", 0.33)