Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
15.869%
Drawdown
10.300%
Expectancy
0
Start Equity
100000
End Equity
124783.59
Net Profit
24.784%
Sharpe Ratio
0.568
Sortino Ratio
0.849
Probabilistic Sharpe Ratio
47.526%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.063
Beta
0.797
Annual Standard Deviation
0.113
Annual Variance
0.013
Information Ratio
-1.734
Tracking Error
0.055
Treynor Ratio
0.08
Total Fees
$4.61
Estimated Strategy Capacity
$8800000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.18%
 
# region imports
from AlgorithmImports import *
# endregion

class VirtualFluorescentYellowDog(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2022, 10, 2)
        self.SetCash(100000)
        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)