Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
13.383%
Drawdown
10.000%
Expectancy
0
Start Equity
100000
End Equity
117097.03
Net Profit
17.097%
Sharpe Ratio
0.5
Sortino Ratio
0.727
Probabilistic Sharpe Ratio
49.115%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.028
Beta
0.754
Annual Standard Deviation
0.096
Annual Variance
0.009
Information Ratio
-0.98
Tracking Error
0.053
Treynor Ratio
0.064
Total Fees
$4.50
Estimated Strategy Capacity
$6800000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.22%
 
# region imports
from AlgorithmImports import *
# endregion

class PensiveRedAnt(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2022, 11, 15)
        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)