Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
13.765%
Drawdown
17.100%
Expectancy
0
Start Equity
100000
End Equity
121307.94
Net Profit
21.308%
Sharpe Ratio
0.434
Sortino Ratio
0.459
Probabilistic Sharpe Ratio
41.318%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.007
Beta
0.706
Annual Standard Deviation
0.118
Annual Variance
0.014
Information Ratio
-0.444
Tracking Error
0.07
Treynor Ratio
0.073
Total Fees
$4.41
Estimated Strategy Capacity
$4300000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.18%
Drawdown Recovery
229
 
# region imports
from AlgorithmImports import *
# endregion

class MeasuredVioletSnake(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2024, 6, 28)
        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)