Overall Statistics
Total Trades
1556
Average Win
0%
Average Loss
-0.01%
Compounding Annual Return
-99.901%
Drawdown
6.700%
Expectancy
-1
Net Profit
-6.712%
Sharpe Ratio
-16.562
Probabilistic Sharpe Ratio
0%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.829
Beta
-0.247
Annual Standard Deviation
0.06
Annual Variance
0.004
Information Ratio
-5.543
Tracking Error
0.305
Treynor Ratio
4.054
Total Fees
$2354.77
 
class NadionHorizontalFlange(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 7, 11)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)
        
        self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.BeforeMarketClose("SPY"), self.Liquidate)

        self.prev_profit = None

    def OnData(self, data):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
            Arguments:
                data: Slice object keyed by symbol containing the stock data
        '''
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 1.0)
            
        if data.ContainsKey("SPY") and data["SPY"] is not None:
            if data["SPY"].Close + 1.5 > self.Portfolio["SPY"].AveragePrice:
                if self.prev_profit != self.Portfolio["SPY"].LastTradeProfit:
                    self.Log("Profit" + str(self.Portfolio["SPY"].LastTradeProfit))
                    self.prev_profit = self.Portfolio["SPY"].LastTradeProfit
                self.Liquidate("SPY", "TAKE PROFIT")
                # tags are optional: self.Liquidate("SPY") also works