Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
9.822%
Drawdown
16.900%
Expectancy
0
Start Equity
100000
End Equity
115095.83
Net Profit
15.096%
Sharpe Ratio
0.213
Sortino Ratio
0.226
Probabilistic Sharpe Ratio
30.658%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.028
Beta
0.692
Annual Standard Deviation
0.115
Annual Variance
0.013
Information Ratio
-0.721
Tracking Error
0.07
Treynor Ratio
0.036
Total Fees
$4.39
Estimated Strategy Capacity
$5900000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.18%
Drawdown Recovery
228
 
# region imports
from AlgorithmImports import *
# endregion

class SquareVioletGorilla(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2024, 7, 18)
        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)