| Overall Statistics |
|
Total Orders 3 Average Win 0% Average Loss 0% Compounding Annual Return 14.687% Drawdown 8.300% Expectancy 0 Start Equity 100000 End Equity 122876.69 Net Profit 22.877% Sharpe Ratio 0.572 Sortino Ratio 0.691 Probabilistic Sharpe Ratio 56.806% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.025 Beta 0.707 Annual Standard Deviation 0.091 Annual Variance 0.008 Information Ratio -0.913 Tracking Error 0.062 Treynor Ratio 0.074 Total Fees $4.42 Estimated Strategy Capacity $7300000.00 Lowest Capacity Asset BND TRO5ZARLX6JP Portfolio Turnover 0.18% |
# region imports from AlgorithmImports import * # endregion class FocusedBrownGoat(QCAlgorithm): def initialize(self): self.set_start_date(2023, 8, 9) 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)
