Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
29.493%
Drawdown
4.100%
Expectancy
0
Net Profit
13.590%
Sharpe Ratio
2.042
Probabilistic Sharpe Ratio
73.363%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.257
Beta
-0.039
Annual Standard Deviation
0.12
Annual Variance
0.015
Information Ratio
-0.169
Tracking Error
0.174
Treynor Ratio
-6.368
Total Fees
$1.32
Estimated Strategy Capacity
$720000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
class MeasuredBlackHippopotamus(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 1, 18)
        self.SetCash(100000) 
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.daily_equity = pd.Series()

    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings(self.symbol, 1)

    def OnEndOfDay(self):
        self.daily_equity = self.daily_equity.append(pd.Series(self.Portfolio.TotalPortfolioValue, index=[self.Time]))
        
    def OnEndOfAlgorithm(self):
        self.Log(f"{self.daily_equity}")