Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
20.325%
Drawdown
10.100%
Expectancy
0
Start Equity
100000
End Equity
132199.02
Net Profit
32.199%
Sharpe Ratio
0.945
Sortino Ratio
1.257
Probabilistic Sharpe Ratio
74.443%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.017
Beta
0.745
Annual Standard Deviation
0.091
Annual Variance
0.008
Information Ratio
-0.897
Tracking Error
0.058
Treynor Ratio
0.115
Total Fees
$4.39
Estimated Strategy Capacity
$5200000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.18%
 
# region imports
from AlgorithmImports import *
# endregion

class SleepyYellowSheep(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2023, 3, 30)
        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)