Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
15.095%
Drawdown
33.700%
Expectancy
0
Start Equity
1000000
End Equity
4415284.11
Net Profit
341.528%
Sharpe Ratio
0.582
Sortino Ratio
0.583
Probabilistic Sharpe Ratio
3.748%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.001
Beta
0.998
Annual Standard Deviation
0.148
Annual Variance
0.022
Information Ratio
0.223
Tracking Error
0.004
Treynor Ratio
0.086
Total Fees
$29.52
Estimated Strategy Capacity
$76000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
Portfolio Turnover
0.03%
Drawdown Recovery
708
 
from AlgorithmImports import *


class BuyAndHoldSPY(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2016, 1, 1)
        self.set_end_date(2026, 7, 22)
        self.set_cash(1_000_000)
        self.add_equity("SPY")

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