| Overall Statistics |
|
Total Orders 1 Average Win 0% Average Loss 0% Compounding Annual Return 20.697% Drawdown 2.600% Expectancy 0 Start Equity 1000000 End Equity 1205517.05 Net Profit 20.552% Sharpe Ratio 2.229 Sortino Ratio 2.498 Probabilistic Sharpe Ratio 94.152% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.006 Beta 0.985 Annual Standard Deviation 0.056 Annual Variance 0.003 Information Ratio -1.166 Tracking Error 0.007 Treynor Ratio 0.127 Total Fees $25.28 Estimated Strategy Capacity $770000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 0.27% |
from AlgorithmImports import * class BuyAndHoldMSFT(QCAlgorithm): def Initialize(self): self.SetStartDate(2017, 1, 1) self.SetEndDate(2018, 1, 1) self.SetCash(1000_000) self.ms = self.AddEquity("SPY", Resolution.Daily).Symbol self.bought = False def OnData(self, data): if not self.bought and self.ms in data: self.SetHoldings(self.ms, 1.0) self.bought = True self.Debug(f"Bought SPY at {data[self.ms].Close}")
