| Overall Statistics |
|
Total Trades 1150 Average Win 0.55% Average Loss -0.42% Compounding Annual Return 4.723% Drawdown 14.500% Expectancy 0.062 Net Profit 14.872% Sharpe Ratio 0.508 Probabilistic Sharpe Ratio 13.831% Loss Rate 54% Win Rate 46% Profit-Loss Ratio 1.31 Alpha 0.036 Beta -0.014 Annual Standard Deviation 0.069 Annual Variance 0.005 Information Ratio -0.387 Tracking Error 0.205 Treynor Ratio -2.494 Total Fees $1652.83 Estimated Strategy Capacity $61000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
#
class OpeningRangeBreakout(QCAlgorithm):
# Order ticket for our stop order, Datetime when stop order was last hit
stopMarketOrderFillTime = datetime.min
stopMarketOrderShortFillTime = datetime.min
def Initialize(self):
self.SetStartDate(2019, 5, 5)
self.SetEndDate(2022, 5, 5)
self.SetCash(100000)
self.stock = self.AddEquity("SPY", Resolution.Minute).Symbol
self.max = self.MAX(self.stock, 30, Resolution.Minute)
self.min = self.MIN(self.stock, 30, Resolution.Minute)
self.SetWarmUp(timedelta(minutes = 30))
self.stopMarketTicket = None
self.stopMarketTicketShort = None
self.highestSPYPrice = 0 # definitely higher than this
self.lowestSPYPrice = 1000000 #almost certainly than this...
self.spy30High = 0
self.spy30Low = 0
# at 10AM the new method is called to save values
self.Schedule.On(self.DateRules.EveryDay(self.stock), self.TimeRules.AfterMarketOpen(self.stock, 30), self.First30Values)
self.Schedule.On(self.DateRules.EveryDay(self.stock), self.TimeRules.BeforeMarketClose(self.stock, 5), self.Liquidate)
#saves value of indcators at 10 am
def First30Values(self):
self.spy30High = self.max.Current.Value
self.spy30Low = self.min.Current.Value
# resets the value for next day
def OnEndOfDay(self):
self.spy30High = 0
self.spy30Low = 0
self.stopMarketTicket = None
self.stopMarketTicketShort = None
def OnData(self, data):
if self.IsWarmingUp:
return
if not (self.max.IsReady or self.min.IsReady):
return
if self.Time.hour < 10 or self.Time.hour > 10:
return
price = self.Securities[self.stock].Price
if not self.Portfolio.Invested:
if price > self.spy30High:
self.SetHoldings("SPY", 1.0)
self.stopMarketTicket = self.StopMarketOrder("SPY", -self.Portfolio["SPY"].Quantity, 0.995 * price)
self.limitOrderTicket = self.LimitOrder("SPY", -self.Portfolio["SPY"].Quantity, 1.01 * price)
elif price < self.spy30Low:
self.SetHoldings("SPY", -1.0)
self.stopMarketTicketShort = self.StopMarketOrder("SPY", -self.Portfolio["SPY"].Quantity, 1.005 * price)
self.limitOrderTicketShort = self.LimitOrder("SPY", -self.Portfolio["SPY"].Quantity, .99 * price)
if self.Securities["SPY"].High > self.highestSPYPrice:
#2. Save the new high to highestSPYPrice; then update the stop price to 90% of highestSPYPrice
self.highestSPYPrice = self.Securities[self.stock].High
updateFields = UpdateOrderFields()
updateFields.StopPrice = self.highestSPYPrice * 0.995
if self.stopMarketTicket != None: ### your update request was returning NoneType because of your conditional logic, attempting to update tickets that did not exist
self.stopMarketTicket.Update(updateFields)
if self.Securities["SPY"].Low < self.lowestSPYPrice:
#2. Save the new high to highestSPYPrice; then update the stop price to 90% of highestSPYPrice
self.lowestSPYPrice = self.Securities[self.stock].Low
updateFields = UpdateOrderFields()
updateFields.StopPrice = self.lowestSPYPrice * 1.005
if self.stopMarketTicketShort != None: ### your update request was returning NoneType because of your conditional logic, attempting to update tickets that did not exist
self.stopMarketTicketShort.Update(updateFields)
#3. Print the new stop price with Debug()
#self.Debug("SPY: " + str(self.highestSPYPrice) + " Stop: " + str(updateFields.StopPrice))
def OnOrderEvent(self, orderEvent):
if orderEvent.Status != OrderStatus.Filled:
return
if self.stopMarketTicket is not None and self.stopMarketTicket.OrderId == orderEvent.OrderId:
self.stopMarketOrderFillTime = self.Time
elif self.stopMarketTicketShort is not None and self.stopMarketTicketShort.OrderId == orderEvent.OrderId:
self.stopMarketOrderShortFillTime = self.Time