Overall Statistics |
Total Orders 1 Average Win 0% Average Loss 0% Compounding Annual Return 14.309% Drawdown 33.700% Expectancy 0 Start Equity 10000000 End Equity 76116084.99 Net Profit 661.161% Sharpe Ratio 0.646 Sortino Ratio 0.66 Probabilistic Sharpe Ratio 9.990% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.001 Beta 0.999 Annual Standard Deviation 0.142 Annual Variance 0.02 Information Ratio -0.294 Tracking Error 0.002 Treynor Ratio 0.092 Total Fees $663.10 Estimated Strategy Capacity $53000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 0.02% |
# region imports from AlgorithmImports import * # endregion class UglyFluorescentPinkKangaroo(QCAlgorithm): def initialize(self): self.set_start_date(2009, 8, 1) self.set_end_date(2024, 9, 30) self.set_cash(10_000_000) self.add_equity("SPY", Resolution.MINUTE) def on_data(self, data: Slice): if not self.portfolio.invested: self.set_holdings("SPY", 1)