Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Sortino 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
9.739
Tracking Error
0.064
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
 
# region imports
from AlgorithmImports import *
# endregion

class SleepySkyBlueKoala(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2024, 1, 1)
        self.SetCash(100000)
        self.asset = "AAPL"
        self.ticker = self.AddEquity(self.asset, Resolution.Minute).Symbol
        self.rollingWindow = RollingWindow[TradeBar](2)
        self.Consolidate(self.ticker, timedelta(minutes=30), self.consolidation_handler)
        self.Schedule.On(self.DateRules.EveryDay(self.ticker), self.TimeRules.At(10, 5), self.BuyOnOpen)
        self.SetWarmup(10)

    def OnData(self, data: Slice):
        if data.Bars.ContainsKey(self.ticker):
            bar = data.Bars[self.ticker]
            self.rollingWindow.Add(bar)


    def BuyOnOpen(self):
        if not self.rollingWindow.IsReady and self.IsWarmingUp:
            return

        self.first_half_hour_return = self.CalculateReturn(self.rollingWindow)
        time = self.rollingWindow[0].Time
        timePrev = self.rollingWindow[1].EndTime
        self.Debug(f"Date: {self.Time}  |   First Half-Hour Return: {self.first_half_hour_return}")

    def CalculateReturn(self, bar):
        if bar[0].Close is not None and bar[1].Close is not None:
            return (bar[0].Close / bar[1].Close) - 1
        else:
            return 0 

    def consolidation_handler(self, consolidated_bar: TradeBar) -> None:
        pass