Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
23.764%
Drawdown
13.200%
Expectancy
0
Start Equity
1000000
End Equity
1235955.56
Net Profit
23.596%
Sharpe Ratio
0.925
Sortino Ratio
1.172
Probabilistic Sharpe Ratio
47.012%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.09
Beta
1.893
Annual Standard Deviation
0.173
Annual Variance
0.03
Information Ratio
0.192
Tracking Error
0.146
Treynor Ratio
0.085
Total Fees
$146.97
Estimated Strategy Capacity
$16000000.00
Lowest Capacity Asset
MWD R735QTJ8XC9X
Portfolio Turnover
0.27%
 
import numpy as np
import pandas as pd
from AlgorithmImports import *

class SharpeRatioBacktest(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2017, 1, 1)
        self.set_end_date(2018, 1, 1)
        self.set_cash(1_000_000)
        self.ticker = "MS"
        self.add_equity(self.ticker, Resolution.DAILY)

    def on_data(self, data):
        if not self.portfolio[self.ticker].invested:
            self.set_holdings(self.ticker, 1.0)