Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
16.013%
Drawdown
16.700%
Expectancy
0
Net Profit
25.035%
Sharpe Ratio
0.79
Sortino Ratio
1.069
Probabilistic Sharpe Ratio
42.565%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0
Beta
0.999
Annual Standard Deviation
0.142
Annual Variance
0.02
Information Ratio
-0.55
Tracking Error
0
Treynor Ratio
0.113
Total Fees
$1.31
Estimated Strategy Capacity
$1000000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
Portfolio Turnover
0.19%
 
#region imports
    using System;
    using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Globalization;
    using System.Drawing;
    using QuantConnect;
    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.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 QuantConnect.Data.Custom.AlphaStreams;
    using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion
namespace QuantConnect.Algorithm.CSharp
{
    public class CustomFillModelAlgorithm : QCAlgorithm
    {

        public override void Initialize()
        {
            SetStartDate(2022, 6, 28);
            SetCash(100000);
            
            SetRiskFreeInterestRateModel(new MyRiskFreeInterestRateModel());
            AddEquity("SPY", Resolution.Daily);
        }

        public override void OnData(Slice data)
        {
            if (!Portfolio.Invested)
            {
                SetHoldings("SPY", 1);
            }
        }
    }

    public class MyRiskFreeInterestRateModel : IRiskFreeInterestRateModel 
    {
        public decimal GetInterestRate(DateTime date) 
        {
            return 0.02m;
        }
    }
}