Overall Statistics
Total Trades
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
46.141%
Drawdown
4.500%
Expectancy
0
Net Profit
16.989%
Sharpe Ratio
2.983
Probabilistic Sharpe Ratio
90.334%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.172
Beta
0.725
Annual Standard Deviation
0.103
Annual Variance
0.011
Information Ratio
2.002
Tracking Error
0.06
Treynor Ratio
0.425
Total Fees
$4.62
Estimated Strategy Capacity
$53000000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.66%
 
# region imports
from AlgorithmImports import *
# endregion

class MuscularBrownBuffalo(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2023, 1, 1)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Daily)
        self.AddEquity("BND", Resolution.Daily)
        self.AddEquity("AAPL", Resolution.Daily)

    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)