| Overall Statistics |
|
Total Trades 2 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio 0 Tracking Error 0 Treynor Ratio 0 Total Fees $2.00 Estimated Strategy Capacity $500000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
# region imports
from AlgorithmImports import *
# endregion
class HipsterRedBull(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2022, 11 , 22) # Set Start Date
self.SetEndDate(2022, 11, 22)
self.SetCash(100000) # Set Strategy Cash
self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
self.Consolidate("SPY", timedelta(minutes=30), self.CustomBarHandler)
self.window = RollingWindow[TradeBar](2)
self.entryTicket = None
self.StopMarketTicket = None
self.TPTicket = None
self.entryTime = datetime.min
self.exitTime = datetime.min
self.bias = 0
self.Schedule.On(self.DateRules.EveryDay(self.symbol), self.TimeRules.BeforeMarketClose(self.symbol, 1) , self.onMarketClose)
def onMarketClose(self):
self.Liquidate()
self.window.Reset()
self.exitTime = self.Time
def CustomBarHandler(self, bar):
if self.Time.hour == 10:
self.window.Add(bar)
def OnData(self, data):
if self.Time.date() == self.exitTime.date() or not self.window.IsReady or self.Portfolio.Invested:
return
# wait at least 1 day before last exit before making another trade
# if rollingwindow is ready and portfolio is not invested
# if close price is above or below opening range high or low, send market order
# record entry time
maxprice = max(self.window[0].High, self.window[1].High)
minprice = min(self.window[0].Low, self.window[1].Low)
self.Plot("Opening Range","OR Max", maxprice)
self.Plot("Opening Range","OR Min", minprice)
if data[self.symbol].Close > maxprice:
self.entryTicket = self.MarketOrder(self.symbol, 100)
self.bias = 1
self.entryTime = self.Time
if data[self.symbol].Close < minprice:
self.entryTicket = self.MarketOrder(self.symbol, -100)
self.bias = -1
self.entryTime = self.Time
def OnOrderEvent(self, orderEvent):
if orderEvent.Status != OrderStatus.Filled:
return
if self.entryTicket is not None and self.entryTicket.OrderId == orderEvent.OrderId:
self.StopMarketTicket = self.StopMarketOrder(self.symbol, -self.entryTicket.QuantityFilled, self.entryTicket.AverageFillPrice - self.bias * 0.5)
self.TPTicket = self.LimitOrder(self.symbol, -self.entryTicket.QuantityFilled, self.entryTicket.AverageFillPrice + self.bias * 0.5)
# if entry ticket exists send out stop market order for stop loss
# if entry ticket exists send out limit order to take profits
# if either take profits or stop loss is hit, record time of order fill
if self.StopMarketTicket is not None and self.StopMarketTicket.OrderId == orderEvent.OrderId:
self.exitTime = self.Time
if self.TPTicket is not None and self.TPTicket.OrderId == orderEvent.OrderId:
self.exitTime = self.Time
# region imports
from AlgorithmImports import *
# endregion
class HipsterRedBull(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2022, 11 , 22) # Set Start Date
self.SetEndDate(2022, 11, 22)
self.SetCash(100000) # Set Strategy Cash
self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
self.Consolidate("SPY", timedelta(minutes=30), self.CustomBarHandler)
self.window = RollingWindow[TradeBar](2)
self.entryTicket = None
self.StopMarketTicket = None
self.TPTicket = None
self.entryTime = datetime.min
self.exitTime = datetime.min
self.bias = 0
self.Schedule.On(self.DateRules.EveryDay(self.symbol), self.TimeRules.BeforeMarketClose(self.symbol, 1) , self.onMarketClose)
def onMarketClose(self):
self.Liquidate()
self.window.Reset()
self.exitTime = self.Time
def CustomBarHandler(self, bar):
if self.Time.hour == 10:
self.window.Add(bar)
def OnData(self, data):
if self.Time.date() == self.exitTime.date() or not self.window.IsReady or self.Portfolio.Invested:
return
# wait at least 1 day before last exit before making another trade
# if rollingwindow is ready and portfolio is not invested
# if close price is above or below opening range high or low, send market order
# record entry time
maxprice = max(self.window[0].High, self.window[1].High)
minprice = min(self.window[0].Low, self.window[1].Low)
self.Plot("Opening Range","OR Max", maxprice)
self.Plot("Opening Range","OR Min", minprice)
if data[self.symbol].Close > maxprice:
self.entryTicket = self.MarketOrder(self.symbol, 100)
self.bias = 1
self.StopMarketTicket = self.StopMarketOrder(self.symbol, -self.entryTicket.QuantityFilled, self.entryTicket.AverageFillPrice - self.bias * 0.5)
self.TPTicket = self.LimitOrder(self.symbol, -self.entryTicket.QuantityFilled, self.entryTicket.AverageFillPrice + self.bias * 0.5)
self.entryTime = self.Time
if data[self.symbol].Close < minprice:
self.entryTicket = self.MarketOrder(self.symbol, -100)
self.bias = -1
self.StopMarketTicket = self.StopMarketOrder(self.symbol, -self.entryTicket.QuantityFilled, self.entryTicket.AverageFillPrice - self.bias * 0.5)
self.TPTicket = self.LimitOrder(self.symbol, -self.entryTicket.QuantityFilled, self.entryTicket.AverageFillPrice + self.bias * 0.5)
self.entryTime = self.Time
def OnOrderEvent(self, orderEvent):
if orderEvent.Status != OrderStatus.Filled:
return
# if entry ticket exists send out stop market order for stop loss
# if entry ticket exists send out limit order to take profits
# if either take profits or stop loss is hit, record time of order fill
if self.StopMarketTicket is not None and self.StopMarketTicket.OrderId == orderEvent.OrderId:
self.exitTime = self.Time
if self.TPTicket is not None and self.TPTicket.OrderId == orderEvent.OrderId:
self.exitTime = self.Time