| Overall Statistics |
|
Total Orders 3 Average Win 0% Average Loss 0% Compounding Annual Return 15.957% Drawdown 9.300% Expectancy 0 Start Equity 100000 End Equity 124874.53 Net Profit 24.875% Sharpe Ratio 0.612 Sortino Ratio 0.717 Probabilistic Sharpe Ratio 57.684% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.008 Beta 0.694 Annual Standard Deviation 0.094 Annual Variance 0.009 Information Ratio -0.558 Tracking Error 0.065 Treynor Ratio 0.083 Total Fees $4.50 Estimated Strategy Capacity $13000000.00 Lowest Capacity Asset BND TRO5ZARLX6JP Portfolio Turnover 0.18% |
# region imports from AlgorithmImports import * # endregion class FatBlueBear(QCAlgorithm): def initialize(self): a = 0 a += 1 a += 10 a += 100 a += 1000 a += 10000 a += 100000 a += 1000000 a += 10000000 a += 100000000 self.set_start_date(2023, 10, 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)
