Overall Statistics
Total Trades
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
0.843%
Drawdown
21.400%
Expectancy
0
Net Profit
1.260%
Sharpe Ratio
0.11
Probabilistic Sharpe Ratio
9.587%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.014
Beta
0.785
Annual Standard Deviation
0.129
Annual Variance
0.017
Information Ratio
-0.378
Tracking Error
0.058
Treynor Ratio
0.018
Total Fees
$4.10
Estimated Strategy Capacity
$9500000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
 
# region imports
from AlgorithmImports import *
# endregion

class RetrospectiveRedLion(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 1, 24)  # 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)