Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
12.445%
Drawdown
24.500%
Expectancy
0
Start Equity
10000000
End Equity
17986124.64
Net Profit
79.861%
Sharpe Ratio
0.363
Sortino Ratio
0.418
Probabilistic Sharpe Ratio
3.585%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0
Beta
1.001
Annual Standard Deviation
0.143
Annual Variance
0.02
Information Ratio
-0.345
Tracking Error
0.001
Treynor Ratio
0.052
Total Fees
$118.11
Estimated Strategy Capacity
$920000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
Portfolio Turnover
0.05%
Drawdown Recovery
708
 
from AlgorithmImports import *


class SpyBenchmark(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2021, 9, 1)
        self.set_end_date(2026, 9, 1)
        self.set_cash(10_000_000)
        self._spy = self.add_equity("SPY", Resolution.DAILY).symbol

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