Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
14.675%
Drawdown
33.700%
Expectancy
0
Start Equity
10000000
End Equity
39366324.52
Net Profit
293.663%
Sharpe Ratio
0.552
Sortino Ratio
0.552
Probabilistic Sharpe Ratio
3.309%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0
Beta
0.999
Annual Standard Deviation
0.149
Annual Variance
0.022
Information Ratio
-0.789
Tracking Error
0
Treynor Ratio
0.082
Total Fees
$269.66
Estimated Strategy Capacity
$690000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
Portfolio Turnover
0.03%
Drawdown Recovery
708
 
from AlgorithmImports import *


class SpyBenchmark(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2016, 7, 29)
        self.set_end_date(2026, 7, 29)
        self.set_cash(10_000_000)
        self._spy = self.add_equity("SPY", Resolution.DAILY).symbol

    def on_data(self, data: Slice) -> None:
        if not self.portfolio.invested:
            self.set_holdings(self._spy, 1)