Overall Statistics
Total Trades
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
16.621%
Drawdown
27.900%
Expectancy
0
Net Profit
373.587%
Sharpe Ratio
0.791
Probabilistic Sharpe Ratio
16.659%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.031
Beta
0.941
Annual Standard Deviation
0.16
Annual Variance
0.025
Information Ratio
0.296
Tracking Error
0.084
Treynor Ratio
0.134
Total Fees
$14.46
Estimated Strategy Capacity
$5200000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
 
# region imports
from AlgorithmImports import *
# endregion     


class DancingMagentaFalcon(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2012, 12, 29)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        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)