Overall Statistics
Total Trades
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
-1.779%
Drawdown
22.300%
Expectancy
0
Net Profit
-2.638%
Sharpe Ratio
-0.014
Probabilistic Sharpe Ratio
6.856%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.013
Beta
0.779
Annual Standard Deviation
0.15
Annual Variance
0.023
Information Ratio
0.265
Tracking Error
0.065
Treynor Ratio
-0.003
Total Fees
$4.05
Estimated Strategy Capacity
$7900000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.18%
 
# region imports
from AlgorithmImports import *
# endregion

class MuscularBrownBuffalo(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 11, 29)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)
        self.AddEquity("BND", Resolution.Minute)
        self.AddEquity("AAPL", Resolution.Minute)

    def OnData(self, data: Slice):
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 0.33)
            self.SetHoldings("BND", 0.33)
            self.SetHoldings("AAPL", 0.33)