Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
345.610%
Drawdown
1.900%
Expectancy
0
Start Equity
100000
End Equity
101928.86
Net Profit
1.929%
Sharpe Ratio
13.191
Sortino Ratio
0
Probabilistic Sharpe Ratio
70.322%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
1.111
Beta
0.988
Annual Standard Deviation
0.232
Annual Variance
0.054
Information Ratio
14.518
Tracking Error
0.075
Treynor Ratio
3.101
Total Fees
$17.30
Estimated Strategy Capacity
$20000000.00
Lowest Capacity Asset
NB R735QTJ8XC9X
Portfolio Turnover
19.79%
 
#region imports
    using System;
    using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Globalization;
    using System.Drawing;
    using QuantConnect;
    using QuantConnect.Algorithm.Framework;
    using QuantConnect.Algorithm.Framework.Selection;
    using QuantConnect.Algorithm.Framework.Alphas;
    using QuantConnect.Algorithm.Framework.Portfolio;
    using QuantConnect.Algorithm.Framework.Portfolio.SignalExports;
    using QuantConnect.Algorithm.Framework.Execution;
    using QuantConnect.Algorithm.Framework.Risk;
    using QuantConnect.Algorithm.Selection;
    using QuantConnect.Api;
    using QuantConnect.Parameters;
    using QuantConnect.Benchmarks;
    using QuantConnect.Brokerages;
    using QuantConnect.Configuration;
    using QuantConnect.Util;
    using QuantConnect.Interfaces;
    using QuantConnect.Algorithm;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Auxiliary;
    using QuantConnect.Data.Consolidators;
    using QuantConnect.Data.Custom;
    using QuantConnect.Data.Custom.IconicTypes;
    using QuantConnect.DataSource;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.Shortable;
    using QuantConnect.Data.UniverseSelection;
    using QuantConnect.Notifications;
    using QuantConnect.Orders;
    using QuantConnect.Orders.Fees;
    using QuantConnect.Orders.Fills;
    using QuantConnect.Orders.OptionExercise;
    using QuantConnect.Orders.Slippage;
    using QuantConnect.Orders.TimeInForces;
    using QuantConnect.Python;
    using QuantConnect.Scheduling;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Equity;
    using QuantConnect.Securities.Future;
    using QuantConnect.Securities.Option;
    using QuantConnect.Securities.Positions;
    using QuantConnect.Securities.Forex;
    using QuantConnect.Securities.Crypto;
    using QuantConnect.Securities.CryptoFuture;
    using QuantConnect.Securities.Interfaces;
    using QuantConnect.Securities.Volatility;
    using QuantConnect.Storage;
    using QuantConnect.Statistics;
    using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion
namespace QuantConnect.Algorithm.CSharp
{
    public class SwimmingRedJackal : QCAlgorithm
    {
        public override void Initialize()
        {
            // Locally Lean installs free sample data, to download more data please visit https://www.quantconnect.com/docs/v2/lean-cli/datasets/downloading-data
            SetStartDate(2013, 10, 7);
            SetEndDate(2013, 10, 11);
            SetCash(100000);
            AddEquity("SPY", Resolution.Minute);
            AddEquity("BAC", Resolution.Minute);
            AddEquity("IBM", Resolution.Minute);
        }

        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
        /// Slice object keyed by symbol containing the stock data
        public override void OnData(Slice data)
        {
            if (!Portfolio.Invested)
            {
                SetHoldings("SPY", 0.33);
                SetHoldings("BAC", 0.33);
                SetHoldings("IBM", 0.33);
            }
        }
    }
}