Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
16.319%
Drawdown
10.300%
Expectancy
0
Start Equity
100000
End Equity
125510.37
Net Profit
25.510%
Sharpe Ratio
0.659
Sortino Ratio
0.942
Probabilistic Sharpe Ratio
58.704%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.027
Beta
0.758
Annual Standard Deviation
0.095
Annual Variance
0.009
Information Ratio
-0.997
Tracking Error
0.056
Treynor Ratio
0.083
Total Fees
$4.51
Estimated Strategy Capacity
$9500000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.18%
 
# region imports
from AlgorithmImports import *
# endregion

################################################################
## 
## IMPORTANT: This is a READ ONLY project so your team can view 
## the live algorithm performance and trades. To update your project 
## click "Update Submission" from your League Entry. See docs for more
##  details: https://qnt.co/3KFS6IO
##
################################################################

class MeasuredYellowGreenDog(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2022, 12, 10)
        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)