Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
13.310%
Drawdown
33.700%
Expectancy
0
Start Equity
1000000
End Equity
3437467.55
Net Profit
243.747%
Sharpe Ratio
0.547
Sortino Ratio
0.551
Probabilistic Sharpe Ratio
10.369%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0
Beta
1.001
Annual Standard Deviation
0.147
Annual Variance
0.022
Information Ratio
-0.184
Tracking Error
0.001
Treynor Ratio
0.08
Total Fees
$28.80
Estimated Strategy Capacity
$1100000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
Portfolio Turnover
0.03%
 
# region imports
from AlgorithmImports import *
# endregion

class MaintainHistoricalDailyUniversePriceDataAlgorithm(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2014, 12, 31)
        self.set_cash(1_000_000)
        self.add_equity('SPY', Resolution.DAILY)
    
    def on_data(self, data):
        if not self.portfolio.invested:
            self.set_holdings('SPY', 1)