Created with Highcharts 12.1.2EquitySep 2023Nov 2023Jan 2024Mar 2024May 2024Jul 2024Sep 2024Nov 2024Jan 2025Mar 202575k100k125k150k-10-5000.20.4012010M20M32,50032,75033,000101520
Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
12.612%
Drawdown
9.400%
Expectancy
0
Start Equity
100000
End Equity
119744.93
Net Profit
19.745%
Sharpe Ratio
0.397
Sortino Ratio
0.482
Probabilistic Sharpe Ratio
48.217%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.029
Beta
0.694
Annual Standard Deviation
0.089
Annual Variance
0.008
Information Ratio
-0.92
Tracking Error
0.062
Treynor Ratio
0.051
Total Fees
$4.42
Estimated Strategy Capacity
$13000000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.18%
 
# region imports
from AlgorithmImports import *
# endregion

class CrawlingBlueBarracuda(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2023, 8, 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)