Overall Statistics
Total Trades
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
345.350%
Drawdown
1.900%
Expectancy
0
Net Profit
1.928%
Sharpe Ratio
13.186
Probabilistic Sharpe Ratio
70.322%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
1.11
Beta
0.987
Annual Standard Deviation
0.232
Annual Variance
0.054
Information Ratio
14.477
Tracking Error
0.075
Treynor Ratio
3.1
Total Fees
$16.96
Estimated Strategy Capacity
$20000000.00
Lowest Capacity Asset
NB R735QTJ8XC9X
Portfolio Turnover
19.78%
 
# region imports
from AlgorithmImports import *
# endregion

class SmoothApricotArmadillo(QCAlgorithm):

    def Initialize(self):
        # Locally Lean installs free sample data, to download more data please visit https://www.quantconnect.com/docs/v2/lean-cli/datasets/downloading-data
        self.SetStartDate(2013, 10, 7)
        self.SetEndDate(2013, 10, 11)
        self.SetCash(100000)
        self.AddEquity("SPY", Resolution.Minute)
        self.AddEquity("BAC", Resolution.Minute)
        self.AddEquity("IBM", Resolution.Minute)

    def OnData(self, data: Slice):
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 0.33)
            self.SetHoldings("BAC", 0.33)
            self.SetHoldings("IBM", 0.33)