Overall Statistics
Total Trades
2
Average Win
0%
Average Loss
0%
Compounding Annual Return
8.101%
Drawdown
2.700%
Expectancy
0
Net Profit
4.718%
Sharpe Ratio
0.049
Probabilistic Sharpe Ratio
73.180%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.003
Beta
0.05
Annual Standard Deviation
0.033
Annual Variance
0.001
Information Ratio
-0.881
Tracking Error
0.097
Treynor Ratio
0.032
Total Fees
$0.00
Estimated Strategy Capacity
$2000000.00
Lowest Capacity Asset
BTCUSD XJ
Portfolio Turnover
0.09%
 
# region imports
from AlgorithmImports import *
# endregion

class CryingBlackSardine(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2023, 5, 5)
        self.SetCash(100000)
        self.AddCrypto("BTCUSDT", Resolution.Second)
        self.AddCryptoFuture("BTCUSDT", Resolution.Second)
        self.AddForex("EURUSD", Resolution.Minute)
        self.AddCrypto("BTCUSD", Resolution.Minute)
        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("BTCUSDT", 0.1)
            self.SetHoldings("EURUSD", 0.1)
            self.SetHoldings("BTCUSD", 0.1)
            self.SetHoldings("SPY", 0.1)
            self.SetHoldings("BND", 0.1)
            self.SetHoldings("AAPL", 0.1)