Overall Statistics |
Total Trades 3 Average Win 0% Average Loss 0% Compounding Annual Return 51.386% Drawdown 4.500% Expectancy 0 Net Profit 20.886% Sharpe Ratio 3.345 Probabilistic Sharpe Ratio 94.672% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.153 Beta 0.725 Annual Standard Deviation 0.102 Annual Variance 0.01 Information Ratio 1.374 Tracking Error 0.06 Treynor Ratio 0.47 Total Fees $4.62 Estimated Strategy Capacity $55000000.00 Lowest Capacity Asset BND TRO5ZARLX6JP Portfolio Turnover 0.60% |
# region imports from AlgorithmImports import * # endregion class MuscularBrownBuffalo(QCAlgorithm): def Initialize(self): self.SetStartDate(2023, 1, 1) # Set Start Date self.SetCash(100000) # Set Strategy Cash self.AddEquity("SPY", Resolution.Daily) self.AddEquity("BND", Resolution.Daily) self.AddEquity("AAPL", Resolution.Daily) def OnData(self, data: Slice): if not self.Portfolio.Invested: self.SetHoldings("SPY", 0.33) self.SetHoldings("BND", 0.33) self.SetHoldings("AAPL", 0.33)