Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
34.374%
Drawdown
4.000%
Expectancy
0
Net Profit
15.963%
Sharpe Ratio
2.393
Probabilistic Sharpe Ratio
79.737%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.296
Beta
-0.021
Annual Standard Deviation
0.121
Annual Variance
0.015
Information Ratio
0.065
Tracking Error
0.174
Treynor Ratio
-13.812
Total Fees
$1.37
Estimated Strategy Capacity
$670000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
from System.Drawing import Color
class AdaptableRedOrangeSeahorse(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 12, 2)
        self.SetCash(100000) 
        self.spy = self.AddEquity("SPY", Resolution.Daily).Symbol
        stockPlot = Chart("Comparison")
        stockPlot.AddSeries(Series("Benchmark", SeriesType.Line, 100000, Color.Red))
        stockPlot.AddSeries(Series("Algorithm", SeriesType.Line, 100000))
        self.AddChart(stockPlot)

    def OnData(self, data):
        
        if self.spy not in data.Bars:return
        self.Plot("Comparison", 'Price', data.Bars["SPY"].Close)
        # Check if we're not invested and then put portfolio 100% in the SPY ETF.      
        if not self.Portfolio.Invested:
           self.SetHoldings("SPY", 1)