Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
16.620%
Drawdown
27.000%
Expectancy
0
Start Equity
100000
End Equity
454055.87
Net Profit
354.056%
Sharpe Ratio
0.681
Sortino Ratio
0.732
Probabilistic Sharpe Ratio
16.293%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.047
Beta
0.933
Annual Standard Deviation
0.162
Annual Variance
0.026
Information Ratio
0.483
Tracking Error
0.087
Treynor Ratio
0.118
Total Fees
$13.16
Estimated Strategy Capacity
$56000000.00
Lowest Capacity Asset
BND TRO5ZARLX6JP
Portfolio Turnover
0.03%
 
# region imports
from AlgorithmImports import *
# endregion

class SmoothRedSeahorse(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2014, 1, 1)
        self.set_end_date(2023, 11, 1)
        self.set_cash(100000)
        self.add_equity("SPY", Resolution.DAILY)
        self.add_equity("BND", Resolution.DAILY)
        self.add_equity("AAPL", Resolution.DAILY)

    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)