Overall Statistics
Total Orders
2
Average Win
0%
Average Loss
0%
Compounding Annual Return
7.522%
Drawdown
23.500%
Expectancy
0
Start Equity
100000
End Equity
154507.17
Net Profit
54.507%
Sharpe Ratio
0.374
Sortino Ratio
0.358
Probabilistic Sharpe Ratio
7.368%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.009
Beta
0.675
Annual Standard Deviation
0.113
Annual Variance
0.013
Information Ratio
-0.591
Tracking Error
0.057
Treynor Ratio
0.063
Total Fees
$4.66
Estimated Strategy Capacity
$2100000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.05%
Drawdown Recovery
190
 
# region imports
from AlgorithmImports import *
# endregion


class StockBondAllocationAlgorithm(QCAlgorithm):
    """
    Static allocation between equities and bonds.
    """

    def initialize(self):
        # keep in mind data snooping bias:
        # always leave some (typically more recent) time period for testing!
        self.set_start_date(2017, 1, 1)
        self.set_end_date(2022, 12, 31)
        
        self.add_equity("SPY", Resolution.MINUTE)
        self.add_equity("BND", Resolution.MINUTE)
        
        self.settings.daily_precise_end_time = False
    
    
    def on_data(self, data):
        if not self.portfolio.invested:
            self.set_holdings("SPY", 0.6)
            self.set_holdings("BND", 0.4)