Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
14.713%
Drawdown
33.700%
Expectancy
0
Start Equity
1000000
End Equity
5116075.92
Net Profit
411.608%
Sharpe Ratio
0.657
Sortino Ratio
0.662
Probabilistic Sharpe Ratio
15.519%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0
Beta
1
Annual Standard Deviation
0.139
Annual Variance
0.019
Information Ratio
-0.235
Tracking Error
0.001
Treynor Ratio
0.091
Total Fees
$44.99
Estimated Strategy Capacity
$1100000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
Portfolio Turnover
0.02%
 
# region imports
from AlgorithmImports import *
# endregion

class JumpingYellowGreenElephant(QCAlgorithm):

    def initialize(self):
        self.set_cash(1_000_000)
        self.set_start_date(2012, 11, 13)
        self.set_end_date(2024, 10, 1)
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol

    def on_data(self, data: Slice):
        if self._symbol in data and not self.portfolio.invested:
            self.set_holdings(self._symbol, 1)