| Overall Statistics |
|
Total Orders 1 Average Win 0% Average Loss 0% Compounding Annual Return 23.698% Drawdown 18.800% Expectancy 0 Start Equity 10000000 End Equity 20687726.38 Net Profit 106.877% Sharpe Ratio 0.902 Sortino Ratio 1.015 Probabilistic Sharpe Ratio 70.173% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0 Beta 1.002 Annual Standard Deviation 0.126 Annual Variance 0.016 Information Ratio 0.003 Tracking Error 0.003 Treynor Ratio 0.113 Total Fees $136.62 Estimated Strategy Capacity $1400000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 0.08% Drawdown Recovery 126 |
from AlgorithmImports import *
class BuyAndHoldSPYBenchmark(QCAlgorithm):
def initialize(self):
self.set_start_date(2023, 1, 1)
self.set_end_date(2026, 6, 1)
self.set_cash(10000000)
self.add_equity("SPY", Resolution.DAILY)
def on_data(self, data):
if not self.portfolio.invested:
self.set_holdings("SPY", 1)