| Overall Statistics |
|
Total Trades 25 Average Win 0.00% Average Loss -0.01% Compounding Annual Return 8.955% Drawdown 0.100% Expectancy -0.749 Net Profit 0.094% Sharpe Ratio 5.427 Probabilistic Sharpe Ratio 69.794% Loss Rate 83% Win Rate 17% Profit-Loss Ratio 0.51 Alpha 0.023 Beta -0.043 Annual Standard Deviation 0.011 Annual Variance 0 Information Ratio 3.656 Tracking Error 0.262 Treynor Ratio -1.42 Total Fees $25.00 Estimated Strategy Capacity $42000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
class EmotionalGreenBaboon(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 1, 26)
self.SetEndDate(2021,1,31)
self.SetCash(100000)
self.spy = self.AddEquity("SPY", Resolution.Minute).Symbol
self.min = self.MIN(self.spy,5,Resolution.Minute,Field.Low)
self.SetWarmup(5)
self.tp = None
self.sl = None
def OnData(self, data):
if self.IsWarmingUp:return
if not self.Portfolio.Invested:
SL = self.min.Current.Value
TP = (data.Bars[self.spy].Close - SL) * 1.5 + data.Bars[self.spy].Close
self.MarketOrder(self.spy,10)
self.sl = self.StopMarketOrder(self.spy, -10, SL)
self.tp = self.LimitOrder(self.spy,-10,TP)
def OnOrderEvent(self, orderEvent):
if not (orderEvent.Status == OrderStatus.Filled):
return
if (self.tp is None) or (self.sl is None):
return
if self.tp.OrderId == orderEvent.OrderId:
self.sl.Cancel()
return
if self.sl.OrderId == orderEvent.OrderId:
self.tp.Cancel()
return