| Overall Statistics |
|
Total Orders 3 Average Win 0% Average Loss 0% Compounding Annual Return 12.122% Drawdown 9.400% Expectancy 0 Start Equity 100000 End Equity 119178.27 Net Profit 19.178% Sharpe Ratio 0.361 Sortino Ratio 0.436 Probabilistic Sharpe Ratio 46.272% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.035 Beta 0.697 Annual Standard Deviation 0.089 Annual Variance 0.008 Information Ratio -1.055 Tracking Error 0.061 Treynor Ratio 0.046 Total Fees $4.42 Estimated Strategy Capacity $13000000.00 Lowest Capacity Asset BND TRO5ZARLX6JP Portfolio Turnover 0.18% |
# region imports from AlgorithmImports import * # endregion class CrawlingBlueBarracuda(QCAlgorithm): def initialize(self): self.set_start_date(2023, 8, 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)
