Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
20.530%
Drawdown
10.200%
Expectancy
0
Start Equity
100000
End Equity
132540.05
Net Profit
32.540%
Sharpe Ratio
0.891
Sortino Ratio
1.185
Probabilistic Sharpe Ratio
71.717%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.02
Beta
0.741
Annual Standard Deviation
0.092
Annual Variance
0.008
Information Ratio
-0.946
Tracking Error
0.059
Treynor Ratio
0.111
Total Fees
$4.43
Estimated Strategy Capacity
$4600000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.18%
 
# region imports
from AlgorithmImports import *
# endregion

class SwimmingRedWolf(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2023, 3, 16)
        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)