Overall Statistics
Total Trades
13
Average Win
0.71%
Average Loss
0%
Compounding Annual Return
26.792%
Drawdown
27.700%
Expectancy
0
Net Profit
44.871%
Sharpe Ratio
1.248
Probabilistic Sharpe Ratio
54.325%
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
0.057
Beta
0.867
Annual Standard Deviation
0.245
Annual Variance
0.06
Information Ratio
0.335
Tracking Error
0.056
Treynor Ratio
0.354
Total Fees
$13.00
Estimated Strategy Capacity
$120000000.00
Lowest Capacity Asset
QQQ RIWIV7K5Z9LX
class FocusedSkyBlueGalago(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 1)
        #self.SetEndDate(2018, 1, 3)
        self.InitCash = 10000
        self.SetCash(self.InitCash)
        self.AddEquity("SPY", Resolution.Minute)
        self.SetWarmUp(5)
        
        
        # ETF's for options ===================================
        spy = self.AddEquity("SPY", Resolution.Minute)
        qqq = self.AddEquity("QQQ", Resolution.Minute)
        spy.SetDataNormalizationMode(DataNormalizationMode.Raw)
        qqq.SetDataNormalizationMode(DataNormalizationMode.Raw)
        self.spy = spy.Symbol
        self.qqq = qqq.Symbol

        
        # Rebalance beginning of every month =======================
        self.Schedule.On(self.DateRules.MonthStart("SPY"), self.TimeRules.AfterMarketOpen("SPY", 1), self.monthlyRebalance)
        self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.AfterMarketOpen("SPY", 1), self.captureSpy)
        
        #Variables used in stoploss=================================
        self.stoplosshold = 0
        self.dailythresh = 0

    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 self.IsWarmingUp:
            return
        
        if not self.Portfolio.Invested:
            self.SetHoldings(self.spy, .55)
            self.SetHoldings(self.qqq, .35)
        
        
        if self.stoplosshold == 1:
            #One for stoploss hold means the stoploss has been hit, hold till next day
            return
        else:
            self.stoploss(data) # change 2

    def captureSpy(self):
        if self.CurrentSlice.Bars.ContainsKey(self.spy):
            self.dailythresh = self.CurrentSlice[self.spy].Open
            self.stoplosshold = 0
            return
            
    def monthlyRebalance(self):
        '''
        Now I need to rebalance portfolio on a monthly basis
        '''
        if self.IsWarmingUp:
            return
        
        self.SetHoldings(self.spy, 0.55)
        self.SetHoldings(self.qqq, 0.35)
        return   
    
    def stoploss(self, data):
        '''
        Stoploss logic:
            1. If spy drops more than 5% liquidate entire equity portfolio
            2. Change stoplosshold value to 1, this indicates that the portfolios SL has been hit 
            and were going to hold until the next trading day
        '''
        if self.IsWarmingUp:
            return
        if self.CurrentSlice.Bars.ContainsKey(self.spy):
            #self.Debug((self.dailythresh - self.CurrentSlice[self.spy].Close)/self.CurrentSlice[self.spy].Close)
            if (self.dailythresh - self.CurrentSlice[self.spy].Open)/self.CurrentSlice[self.spy].Open < -.08:
                self.SetHoldings(self.spy, 0)
                self.SetHoldings(self.qqq, 0)
                self.stoplosshold = 1