Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
10.909%
Drawdown
22.100%
Expectancy
0
Start Equity
100000
End Equity
277024.02
Net Profit
177.024%
Sharpe Ratio
0.555
Sortino Ratio
0.582
Probabilistic Sharpe Ratio
10.863%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.02
Beta
0.658
Annual Standard Deviation
0.117
Annual Variance
0.014
Information Ratio
-0.039
Tracking Error
0.083
Treynor Ratio
0.098
Total Fees
$7.04
Estimated Strategy Capacity
$68000000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.01%
 
# region imports
from AlgorithmImports import *
# endregion

class SmoothRedSeahorse(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2014, 1, 1)
        self.set_end_date(2023, 11, 1)
        self.set_cash(100000)
        self.add_equity("SPY", Resolution.DAILY)
        self.add_equity("BND", Resolution.DAILY)
        self.add_equity("AAPL", Resolution.DAILY)

    def on_data(self, data: Slice):
        if not self.portfolio.invested:
            self.set_holdings("SPY", 0.33/2)
            self.set_holdings("BND", 0.33/2)
            self.set_holdings("AAPL", 0.33/2)