Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
14.309%
Drawdown
33.700%
Expectancy
0
Start Equity
10000000
End Equity
76116084.99
Net Profit
661.161%
Sharpe Ratio
0.646
Sortino Ratio
0.66
Probabilistic Sharpe Ratio
9.990%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.001
Beta
0.999
Annual Standard Deviation
0.142
Annual Variance
0.02
Information Ratio
-0.294
Tracking Error
0.002
Treynor Ratio
0.092
Total Fees
$663.10
Estimated Strategy Capacity
$53000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
Portfolio Turnover
0.02%
 
# region imports
from AlgorithmImports import *
# endregion

class UglyFluorescentPinkKangaroo(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2009, 8, 1)
        self.set_end_date(2024, 9, 30)
        self.set_cash(10_000_000)
        self.add_equity("SPY", Resolution.MINUTE)

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