Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
6.321%
Drawdown
18.900%
Expectancy
0
Start Equity
100000
End Equity
110800.38
Net Profit
10.800%
Sharpe Ratio
0.169
Sortino Ratio
0.218
Probabilistic Sharpe Ratio
18.683%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.007
Beta
0.947
Annual Standard Deviation
0.153
Annual Variance
0.023
Information Ratio
-0.194
Tracking Error
0.047
Treynor Ratio
0.027
Total Fees
$4.31
Estimated Strategy Capacity
$6200000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.19%
 
# region imports
from AlgorithmImports import *
# endregion

class EmotionalMagentaTermite(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2022, 5, 5)
        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:
            spy = float(self.GetParameter("spy"))

            self.SetHoldings("SPY", spy)
            self.SetHoldings("BND", 0.33)
            self.SetHoldings("AAPL", 0.33)