Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
7.027%
Drawdown
55.500%
Expectancy
0
Net Profit
347.980%
Sharpe Ratio
0.383
Probabilistic Sharpe Ratio
0.020%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0
Beta
1.007
Annual Standard Deviation
0.161
Annual Variance
0.026
Information Ratio
0.022
Tracking Error
0.002
Treynor Ratio
0.061
Total Fees
$5.10
Estimated Strategy Capacity
$45000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
class MyAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2000, 1, 1)
        self.SetCash(100000)
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol

    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings(self.symbol, 1)