Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
-4.502%
Drawdown
14.000%
Expectancy
0
Start Equity
1000000
End Equity
955261.58
Net Profit
-4.474%
Sharpe Ratio
-0.465
Sortino Ratio
-0.584
Probabilistic Sharpe Ratio
6.023%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.117
Beta
0.554
Annual Standard Deviation
0.093
Annual Variance
0.009
Information Ratio
-1.929
Tracking Error
0.091
Treynor Ratio
-0.078
Total Fees
$79.93
Estimated Strategy Capacity
$34000000.00
Lowest Capacity Asset
XON R735QTJ8XC9X
Portfolio Turnover
0.28%
 
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 = "XOM"
        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)