Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
17.942%
Drawdown
16.600%
Expectancy
0
Net Profit
34.830%
Sharpe Ratio
0.611
Sortino Ratio
0.78
Probabilistic Sharpe Ratio
40.956%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0
Beta
0.997
Annual Standard Deviation
0.145
Annual Variance
0.021
Information Ratio
-0.856
Tracking Error
0.001
Treynor Ratio
0.089
Total Fees
$1.32
Estimated Strategy Capacity
$530000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
Portfolio Turnover
0.15%
 
#region imports
    using System;
    using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Globalization;
    using System.Drawing;
    using QuantConnect;
    using System.Text.RegularExpressions;
    using QuantConnect.Algorithm.Framework;
    using QuantConnect.Algorithm.Framework.Selection;
    using QuantConnect.Algorithm.Framework.Alphas;
    using QuantConnect.Algorithm.Framework.Portfolio;
    using QuantConnect.Algorithm.Framework.Execution;
    using QuantConnect.Algorithm.Framework.Risk;
    using QuantConnect.Algorithm.Selection;
    using QuantConnect.Parameters;
    using QuantConnect.Benchmarks;
    using QuantConnect.Brokerages;
    using QuantConnect.Util;
    using QuantConnect.Interfaces;
    using QuantConnect.Algorithm;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Consolidators;
    using QuantConnect.Data.Custom;
    using QuantConnect.DataSource;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.UniverseSelection;
    using QuantConnect.Notifications;
    using QuantConnect.Orders;
    using QuantConnect.Orders.Fees;
    using QuantConnect.Orders.Fills;
    using QuantConnect.Orders.Slippage;
    using QuantConnect.Scheduling;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Equity;
    using QuantConnect.Securities.Future;
    using QuantConnect.Securities.Option;
    using QuantConnect.Securities.Forex;
    using QuantConnect.Securities.Crypto;   
    using QuantConnect.Securities.Interfaces;
    using QuantConnect.Storage;
    using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion

namespace QuantConnect.Algorithm.CSharp
{
    public class RiskFreeInterestRateModelAlgorithm : QCAlgorithm
    {
        public override void Initialize()
        {
            SetStartDate(2022, 5, 21);
            SetCash(100000);
            AddEquity("SPY", Resolution.Daily);
        }

        public override void OnEndOfDay(Symbol symbol)
        {
            SetHoldings(symbol, 1);
            Plot("Interest Rate", "EOD", RiskFreeInterestRateModel.GetInterestRate(Time));
            Plot("Interest Rate", "1-year Window", RiskFreeInterestRateModel.GetRiskFreeRate(Time.AddDays(-365), Time));
        }
    }
}