| Overall Statistics |
|
Total Orders 2 Average Win 0% Average Loss 0% Compounding Annual Return 9.626% Drawdown 7.800% Expectancy 0 Start Equity 1000000 End Equity 1095611.18 Net Profit 9.561% Sharpe Ratio 0.505 Sortino Ratio 0.657 Probabilistic Sharpe Ratio 32.727% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.111 Beta 1.266 Annual Standard Deviation 0.111 Annual Variance 0.012 Information Ratio -0.877 Tracking Error 0.087 Treynor Ratio 0.044 Total Fees $113.45 Estimated Strategy Capacity $29000000.00 Lowest Capacity Asset MWD R735QTJ8XC9X Portfolio Turnover 0.28% |
from AlgorithmImports import * class BuyAndHoldMSXOM(QCAlgorithm): def Initialize(self): self.SetStartDate(2017, 1, 1) self.SetEndDate(2018, 1, 1) self.SetCash(1000_000) # Start with $1M self.ms = self.AddEquity("MS", Resolution.Daily).Symbol self.xom = self.AddEquity("XOM", Resolution.Daily).Symbol self.bought = False def OnData(self, data): if not self.bought and self.ms in data and self.xom in data: self.SetHoldings(self.ms, 0.5) self.SetHoldings(self.xom, 0.5) self.bought = True self.Debug(f"Bought MS at {data[self.ms].Close} and XOM at {data[self.xom].Close}")
