Overall Statistics
Total Trades
1574
Average Win
0.42%
Average Loss
-0.54%
Compounding Annual Return
13.021%
Drawdown
28.900%
Expectancy
0.045
Net Profit
21.063%
Sharpe Ratio
0.662
Probabilistic Sharpe Ratio
31.702%
Loss Rate
41%
Win Rate
59%
Profit-Loss Ratio
0.78
Alpha
-0.089
Beta
0.889
Annual Standard Deviation
0.252
Annual Variance
0.063
Information Ratio
-2.31
Tracking Error
0.052
Treynor Ratio
0.187
Total Fees
$1574.00
Estimated Strategy Capacity
$48000000.00
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].Close)/self.CurrentSlice[self.spy].Close < .05:
                self.SetHoldings(self.spy, 0)
                self.SetHoldings(self.qqq, 0)
                self.stoplosshold = 1