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
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
15.231
Tracking Error
0.061
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
 
class EmotionalFluorescentOrangeAntelope(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 3, 1)
        self.SetEndDate(2021, 3, 3)
        self.SetCash(100000) 
        self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
        
        self.open_price = None
        self.day = 0


    def OnData(self, data):
        if not (data.ContainsKey(self.symbol) and data[self.symbol] is not None):
            return
        
        if data.Time.day != self.day:
            self.open_price = data[self.symbol].Open
        self.day = data.Time.day
        
        close_price = data[self.symbol].Close
        roc_since_open = (close_price - self.open_price) / self.open_price
        self.Plot("ROC", "Since Open", roc_since_open)