Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
18.221%
Drawdown
18.500%
Expectancy
0
Start Equity
100000
End Equity
128551.61
Net Profit
28.552%
Sharpe Ratio
0.596
Sortino Ratio
0.65
Probabilistic Sharpe Ratio
47.502%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.016
Beta
0.759
Annual Standard Deviation
0.13
Annual Variance
0.017
Information Ratio
-0.048
Tracking Error
0.075
Treynor Ratio
0.102
Total Fees
$4.40
Estimated Strategy Capacity
$9700000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.18%
Drawdown Recovery
244
 
# region imports
from AlgorithmImports import *
# endregion

class SwimmingFluorescentPinkRhinoceros(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2024, 3, 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)
# region imports
from AlgorithmImports import *
# endregion

class SwimmingFluorescentPinkRhinoceros(QCAlgorithm):

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