Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
16.115%
Drawdown
33.600%
Expectancy
0
Start Equity
100000
End Equity
213833.42
Net Profit
113.833%
Sharpe Ratio
0.582
Sortino Ratio
0.587
Probabilistic Sharpe Ratio
20.197%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.001
Beta
0.996
Annual Standard Deviation
0.172
Annual Variance
0.03
Information Ratio
0.222
Tracking Error
0.002
Treynor Ratio
0.1
Total Fees
$1.86
Estimated Strategy Capacity
$75000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
Portfolio Turnover
0.05%
 
# region imports
from AlgorithmImports import *
# endregion

class EnergeticBlueHorse(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2019, 9, 1)
        self.set_end_date(2024, 9, 30)
        self.set_cash(100000)
        self.add_equity("SPY", Resolution.MINUTE)

    def on_data(self, data: Slice):
        if not self.portfolio.invested:
            self.set_holdings("SPY", 1)