| Overall Statistics |
|
Total Orders 1 Average Win 0% Average Loss 0% Compounding Annual Return 23.764% Drawdown 13.200% Expectancy 0 Start Equity 1000000 End Equity 1235955.56 Net Profit 23.596% Sharpe Ratio 0.925 Sortino Ratio 1.172 Probabilistic Sharpe Ratio 47.012% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.09 Beta 1.893 Annual Standard Deviation 0.173 Annual Variance 0.03 Information Ratio 0.192 Tracking Error 0.146 Treynor Ratio 0.085 Total Fees $146.97 Estimated Strategy Capacity $16000000.00 Lowest Capacity Asset MWD 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("MS", 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 MS at {data[self.ms].Close}")
