Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
12.905%
Drawdown
24.500%
Expectancy
0
Start Equity
100000
End Equity
183512.12
Net Profit
83.512%
Sharpe Ratio
0.424
Sortino Ratio
0.483
Probabilistic Sharpe Ratio
18.377%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0
Beta
0.998
Annual Standard Deviation
0.14
Annual Variance
0.02
Information Ratio
-0.774
Tracking Error
0
Treynor Ratio
0.06
Total Fees
$1.36
Estimated Strategy Capacity
$1300000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
Portfolio Turnover
0.05%
Drawdown Recovery
708
 
# region imports
from AlgorithmImports import *
# endregion

class HyperActiveFluorescentOrangeCaribou(QCAlgorithm):

    def initialize(self):
        self.set_start_date(self.end_date - timedelta(5*365))
        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)