Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
16.119%
Drawdown
18.200%
Expectancy
0
Start Equity
100000
End Equity
125238.46
Net Profit
25.238%
Sharpe Ratio
0.492
Sortino Ratio
0.537
Probabilistic Sharpe Ratio
42.317%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.006
Beta
0.753
Annual Standard Deviation
0.128
Annual Variance
0.016
Information Ratio
-0.378
Tracking Error
0.074
Treynor Ratio
0.083
Total Fees
$4.42
Estimated Strategy Capacity
$9100000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.18%
Drawdown Recovery
229
 
# region imports
from AlgorithmImports import *
# endregion

class SleepySkyBlueSeahorse(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2024, 3, 16)
        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)