Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
13.989%
Drawdown
24.400%
Expectancy
0
Start Equity
100000
End Equity
192424.60
Net Profit
92.425%
Sharpe Ratio
0.458
Sortino Ratio
0.523
Probabilistic Sharpe Ratio
21.712%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0
Beta
0.998
Annual Standard Deviation
0.141
Annual Variance
0.02
Information Ratio
-0.482
Tracking Error
0.001
Treynor Ratio
0.065
Total Fees
$1.27
Estimated Strategy Capacity
$870000000.00
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)