Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
15.233%
Drawdown
9.800%
Expectancy
0
Start Equity
100000
End Equity
119828.13
Net Profit
19.828%
Sharpe Ratio
0.591
Sortino Ratio
0.757
Probabilistic Sharpe Ratio
57.835%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.025
Beta
0.731
Annual Standard Deviation
0.089
Annual Variance
0.008
Information Ratio
-0.947
Tracking Error
0.057
Treynor Ratio
0.072
Total Fees
$4.39
Estimated Strategy Capacity
$9000000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.21%
 
# region imports
from AlgorithmImports import *
# endregion


class EmotionalVioletBull(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2023, 6, 3)
        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)