| Overall Statistics |
|
Total Trades 2613 Average Win 0.46% Average Loss -0.49% Compounding Annual Return 20.245% Drawdown 9.100% Expectancy 0.062 Net Profit 44.931% Sharpe Ratio 1.2 Probabilistic Sharpe Ratio 58.495% Loss Rate 45% Win Rate 55% Profit-Loss Ratio 0.95 Alpha 0.151 Beta -0.06 Annual Standard Deviation 0.118 Annual Variance 0.014 Information Ratio -0.11 Tracking Error 0.192 Treynor Ratio -2.351 Total Fees $4216.10 Estimated Strategy Capacity $18000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
# Opening Range Breakout
# ------------------------------------------------------------
STOCK = "SPY"; PERIOD = 30; WAIT = 0; SL = -0.005; TP = 0.005;
# ------------------------------------------------------------
class OpeningRangeBreakout(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 5, 1)
self.SetEndDate(2022, 5, 5)
self.SetCash(100000)
self.stock = self.AddEquity(STOCK, Resolution.Minute).Symbol
self.hh = self.MAX(self.stock, PERIOD, Resolution.Minute, Field.High)
self.ll = self.MIN(self.stock, PERIOD, Resolution.Minute, Field.Low)
self.hh_d = IndicatorExtensions.Of(Delay(1), self.hh)
self.ll_d = IndicatorExtensions.Of(Delay(1), self.ll)
self.SetWarmUp(PERIOD + 1, Resolution.Minute)
self.first_30_min_HH = 0
self.first_30_min_LL = 0
self.wait = WAIT
self.Schedule.On(self.DateRules.EveryDay(self.stock), self.TimeRules.AfterMarketOpen(self.stock, 31),
self.DailyCheck)
def DailyCheck(self):
if self.IsWarmingUp: return
if not (self.hh_d.IsReady or self.ll_d.IsReady): return
self.first_30_min_HH = self.hh_d.Current.Value
self.first_30_min_LL = self.ll_d.Current.Value
def OnData(self, data):
if self.IsWarmingUp: return
if not (self.hh_d.IsReady or self.ll_d.IsReady): return
if self.Time.hour < 10 or self.Time.hour >= 16: return
if (self.first_30_min_HH ==0 or self.first_30_min_LL == 0): return
self.wait += 1
if not self.wait > WAIT: return
price = self.Securities[self.stock].Price
pnl = self.Securities[self.stock].Holdings.UnrealizedProfitPercent
if not self.Portfolio[self.stock].Invested:
if price > self.first_30_min_HH:
self.SetHoldings(self.stock, 1)
elif price < self.first_30_min_LL:
self.SetHoldings(self.stock, -1)
elif self.Portfolio[self.stock].Invested:
if pnl >= TP:
self.Liquidate(self.stock, "Take Profit")
self.wait = 0
elif pnl < SL:
self.Liquidate(self.stock, "Stop Loss")
self.wait = 0
def OnEndOfDay(self, symbol):
if self.Portfolio[self.stock].Invested:
self.Liquidate(self.stock, "EOD")
self.wait = WAIT