| Overall Statistics |
|
Total Orders 1 Average Win 0% Average Loss 0% Compounding Annual Return 18.238% Drawdown 33.200% Expectancy 0 Start Equity 100000 End Equity 118274.06 Net Profit 18.274% Sharpe Ratio 0.584 Sortino Ratio 0.545 Probabilistic Sharpe Ratio 30.198% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.001 Beta 0.98 Annual Standard Deviation 0.273 Annual Variance 0.074 Information Ratio -0.161 Tracking Error 0.013 Treynor Ratio 0.163 Total Fees $1.68 Estimated Strategy Capacity $960000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 0.27% Drawdown Recovery 172 |
from AlgorithmImports import *
class BasicTemplateAlgorithm(QCAlgorithm):
def initialize(self):
self.set_start_date(2020, 1, 1)
self.set_end_date(2021, 1, 1)
self.set_cash(100000)
self.add_equity("SPY", Resolution.DAILY)
def on_data(self, data: Slice):
if not self.portfolio.invested:
self.set_holdings("SPY", 1)