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
from AlgorithmImports import *
# endregion

class CustomFillModelAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2022, 6, 28)
        self.SetCash(100000)

        self.SetRiskFreeInterestRateModel(MyRiskFreeInterestRateModel())
        self.AddEquity("SPY", Resolution.Daily)

    def OnData(self, data: Slice):
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 1)

class MyRiskFreeInterestRateModel:
    def GetInterestRate(self, date: datetime) -> float:
        return 0.02