Overall Statistics
Total Trades
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
4.110%
Drawdown
22.700%
Expectancy
0
Net Profit
7.872%
Sharpe Ratio
0.262
Probabilistic Sharpe Ratio
11.007%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.025
Beta
0.826
Annual Standard Deviation
0.147
Annual Variance
0.021
Information Ratio
0.358
Tracking Error
0.06
Treynor Ratio
0.046
Total Fees
$4.36
Estimated Strategy Capacity
$8700000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.14%
 
# region imports
from AlgorithmImports import *
# endregion

class MeasuredYellowElephant(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 5, 13)  # 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)