| Overall Statistics |
|
Total Orders 1 Average Win 0% Average Loss 0% Compounding Annual Return 13.633% Drawdown 24.500% Expectancy 0 Start Equity 100000 End Equity 189509.92 Net Profit 89.510% Sharpe Ratio 0.442 Sortino Ratio 0.504 Probabilistic Sharpe Ratio 20.469% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.001 Beta 0.999 Annual Standard Deviation 0.141 Annual Variance 0.02 Information Ratio -0.478 Tracking Error 0.002 Treynor Ratio 0.062 Total Fees $1.27 Estimated Strategy Capacity $1000000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 0.05% Drawdown Recovery 708 |
from AlgorithmImports import *
class BasicTemplateAlgorithm(QCAlgorithm):
def initialize(self):
self.set_start_date(self.end_date - timedelta(5*365))
self.set_cash(100_000)
self.add_equity("SPY", Resolution.DAILY)
def on_data(self, data: Slice):
if not self.portfolio.invested:
self.set_holdings("SPY", 1)