Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
16.346%
Drawdown
16.600%
Expectancy
0
Start Equity
100000
End Equity
133469.05
Net Profit
33.469%
Sharpe Ratio
0.54
Sortino Ratio
0.688
Probabilistic Sharpe Ratio
37.167%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0
Beta
0.997
Annual Standard Deviation
0.143
Annual Variance
0.02
Information Ratio
-0.911
Tracking Error
0
Treynor Ratio
0.077
Total Fees
$1.32
Estimated Strategy Capacity
$530000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
Portfolio Turnover
0.14%
 
from AlgorithmImports import *

class RiskFreeInterestRateModelAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2022, 5, 21)
        self.set_cash(100000)
        self.add_equity("SPY", Resolution.DAILY)

    def on_end_of_day(self, symbol):
        self.set_holdings(symbol, 1)
        risk_free_rate = RiskFreeInterestRateModelExtensions.get_risk_free_rate(self.risk_free_interest_rate_model, self.time - timedelta(365), self.time)
        self.plot('Interest', 'EOD', self.risk_free_interest_rate_model.get_interest_rate(self.time))
        self.plot('Interest', '1Y-RW', risk_free_rate)