Overall Statistics
Total Trades
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
12.106%
Drawdown
16.200%
Expectancy
0
Net Profit
18.780%
Sharpe Ratio
0.364
Sortino Ratio
0.502
Probabilistic Sharpe Ratio
32.799%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.013
Beta
0.799
Annual Standard Deviation
0.123
Annual Variance
0.015
Information Ratio
-0.5
Tracking Error
0.056
Treynor Ratio
0.056
Total Fees
$4.43
Estimated Strategy Capacity
$5000000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.18%
 
# region imports
from AlgorithmImports import *
# endregion

class CrawlingFluorescentYellowCaribou(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2022, 7, 10)
        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)