Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
14.206%
Drawdown
17.100%
Expectancy
0
Start Equity
100000
End Equity
122103.20
Net Profit
22.103%
Sharpe Ratio
0.413
Sortino Ratio
0.437
Probabilistic Sharpe Ratio
40.257%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.007
Beta
0.704
Annual Standard Deviation
0.118
Annual Variance
0.014
Information Ratio
-0.438
Tracking Error
0.071
Treynor Ratio
0.069
Total Fees
$4.44
Estimated Strategy Capacity
$14000000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.18%
Drawdown Recovery
229
 
# region imports
from AlgorithmImports import *
# endregion

class SmoothBlueGoat(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2024, 6, 30)
        self.set_cash(100000)
        self.add_equity("SPY", Resolution.MINUTE)
        self.add_equity("BND", Resolution.MINUTE)
        self.add_equity("AAPL", Resolution.MINUTE)

    def on_data(self, data: Slice):
        if not self.portfolio.invested:
            self.set_holdings("SPY", 0.33)
            self.set_holdings("BND", 0.33)
            self.set_holdings("AAPL", 0.33)