Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
19.538%
Drawdown
18.100%
Expectancy
0
Start Equity
100000
End Equity
147991.95
Net Profit
47.992%
Sharpe Ratio
0.728
Sortino Ratio
0.808
Probabilistic Sharpe Ratio
59.374%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.011
Beta
0.749
Annual Standard Deviation
0.115
Annual Variance
0.013
Information Ratio
-0.642
Tracking Error
0.066
Treynor Ratio
0.112
Total Fees
$4.57
Estimated Strategy Capacity
$15000000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.12%
Drawdown Recovery
229
 
# region imports
from AlgorithmImports import *
# endregion

class FatBlueBear(QCAlgorithm):

    def initialize(self):
        
        a = 0
        a += 1
        a += 10
        a += 100
        a += 1000
        a += 10000
        a += 100000
        a += 1000000
        a += 10000000
        a += 100000000

        self.set_start_date(2023, 10, 1)
        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)