Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
20.697%
Drawdown
2.600%
Expectancy
0
Start Equity
1000000
End Equity
1205517.05
Net Profit
20.552%
Sharpe Ratio
2.229
Sortino Ratio
2.498
Probabilistic Sharpe Ratio
94.152%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.006
Beta
0.985
Annual Standard Deviation
0.056
Annual Variance
0.003
Information Ratio
-1.166
Tracking Error
0.007
Treynor Ratio
0.127
Total Fees
$25.28
Estimated Strategy Capacity
$770000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
Portfolio Turnover
0.27%
 
import numpy as np
import pandas as pd
from AlgorithmImports import *

class SharpeRatioBacktest(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2017, 1, 1)
        self.set_end_date(2018, 1, 1)
        self.set_cash(1_000_000)
        self.ticker = "SPY"
        self.add_equity(self.ticker, Resolution.DAILY)

    def on_data(self, data):
        if not self.portfolio[self.ticker].invested:
            self.set_holdings(self.ticker, 1.0)