Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
14.457%
Drawdown
33.700%
Expectancy
0
Start Equity
100000
End Equity
283482.91
Net Profit
183.483%
Sharpe Ratio
0.564
Sortino Ratio
0.556
Probabilistic Sharpe Ratio
14.977%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.001
Beta
0.998
Annual Standard Deviation
0.154
Annual Variance
0.024
Information Ratio
-0.417
Tracking Error
0.002
Treynor Ratio
0.087
Total Fees
$2.52
Estimated Strategy Capacity
$82000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
Portfolio Turnover
0.04%
 
# region imports
from AlgorithmImports import *
# endregion

class MeasuredBlackDolphin(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2017, 1, 1)
        self.set_cash(100000)
        self.add_equity("SPY", Resolution.MINUTE)

    def on_data(self, data: Slice):
        if not self.portfolio.invested:
            self.set_holdings("SPY", 1)