Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
13.939%
Drawdown
33.700%
Expectancy
0
Start Equity
100000
End Equity
704195.62
Net Profit
604.196%
Sharpe Ratio
0.624
Sortino Ratio
0.636
Probabilistic Sharpe Ratio
9.033%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0
Beta
0.998
Annual Standard Deviation
0.142
Annual Variance
0.02
Information Ratio
-0.317
Tracking Error
0.002
Treynor Ratio
0.088
Total Fees
$5.83
Estimated Strategy Capacity
$55000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
Portfolio Turnover
0.02%
 
# region imports
from AlgorithmImports import *
# endregion

class CreativeFluorescentPinkOwl(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2010, 1, 2)
        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)