Overall Statistics
Total Trades
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
-2.178%
Drawdown
22.600%
Expectancy
0
Net Profit
-3.250%
Sharpe Ratio
-0.03
Probabilistic Sharpe Ratio
6.467%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.01
Beta
0.792
Annual Standard Deviation
0.139
Annual Variance
0.019
Information Ratio
0.22
Tracking Error
0.059
Treynor Ratio
-0.005
Total Fees
$4.22
Estimated Strategy Capacity
$8300000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
 
# region imports
from AlgorithmImports import *
# endregion

class FormalGreenCamel(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 4, 27)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)
        self.AddEquity("BND", Resolution.Minute)
        self.AddEquity("AAPL", Resolution.Minute)

    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)