Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
-53.682%
Drawdown
3.700%
Expectancy
0
Start Equity
100000
End Equity
96343.38
Net Profit
-3.657%
Sharpe Ratio
-6.002
Sortino Ratio
-9.549
Probabilistic Sharpe Ratio
2.781%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.026
Beta
0.839
Annual Standard Deviation
0.08
Annual Variance
0.006
Information Ratio
2.244
Tracking Error
0.027
Treynor Ratio
-0.569
Total Fees
$1.12
Estimated Strategy Capacity
$1800000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
Portfolio Turnover
5.52%
Drawdown Recovery
0
 
# region imports
from AlgorithmImports import *
# endregion

class VirtualMagentaBeaver(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2023, 8, 1)
        self.set_end_date(2023, 8, 20)
        self.set_cash(100000)
        self.add_equity('SPY', Resolution.DAILY)
        self.set_warm_up(timedelta(7))
    
    def on_data(self, data):
        if not self.portfolio.invested:
            self.set_holdings('SPY', 1)