Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
13.837%
Drawdown
10.100%
Expectancy
0
Start Equity
100000
End Equity
122069.99
Net Profit
22.070%
Sharpe Ratio
0.465
Sortino Ratio
0.691
Probabilistic Sharpe Ratio
44.943%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.036
Beta
0.774
Annual Standard Deviation
0.103
Annual Variance
0.011
Information Ratio
-1.085
Tracking Error
0.056
Treynor Ratio
0.062
Total Fees
$4.54
Estimated Strategy Capacity
$8200000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.18%
 
# region imports
from AlgorithmImports import *
# endregion

class DeterminedAsparagusPelican(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2022, 10, 30)
        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)