Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
8.337%
Drawdown
22.800%
Expectancy
0
Start Equity
100000
End Equity
143419.43
Net Profit
43.419%
Sharpe Ratio
0.254
Sortino Ratio
0.302
Probabilistic Sharpe Ratio
9.285%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.021
Beta
0.84
Annual Standard Deviation
0.137
Annual Variance
0.019
Information Ratio
-0.504
Tracking Error
0.064
Treynor Ratio
0.041
Total Fees
$4.49
Estimated Strategy Capacity
$14000000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.06%
 
# region imports
from AlgorithmImports import *
# endregion

class AdaptableFluorescentOrangeBat(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2020, 12, 9)
        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)