Overall Statistics
Total Trades
234
Average Win
2.11%
Average Loss
-1.44%
Compounding Annual Return
9.306%
Drawdown
8.400%
Expectancy
0.305
Net Profit
61.951%
Sharpe Ratio
0.736
Probabilistic Sharpe Ratio
19.742%
Loss Rate
47%
Win Rate
53%
Profit-Loss Ratio
1.46
Alpha
0.069
Beta
-0.012
Annual Standard Deviation
0.092
Annual Variance
0.008
Information Ratio
-0.211
Tracking Error
0.187
Treynor Ratio
-5.527
Total Fees
$329.09
Estimated Strategy Capacity
$46000000.00
Lowest Capacity Asset
TSLA UNU3P8Y3WFAD
 
# Fading The Gap
# --------------------------------
STOCK = "TSLA"; THRESHOLD = -6.5; 
# --------------------------------

class FadingTheGap(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2017, 1, 1)
        self.SetEndDate(2022, 6, 1)
        self.SetCash(100000) 
        self.symbol = self.AddEquity(STOCK, Resolution.Minute).Symbol
        self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.BeforeMarketClose(self.symbol, 0), self.ClosingBar) 
        self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen(self.symbol, 1), self.OpeningBar)
        self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen(self.symbol, 45), self.ClosePositions) 
        self.window = RollingWindow[TradeBar](2)
        
        
    def ClosingBar(self):
        if self.symbol in self.CurrentSlice.Bars:
            self.window.Add(self.CurrentSlice[self.symbol])
            
    
    def OpeningBar(self):
        if self.symbol in self.CurrentSlice.Bars:
            self.window.Add(self.CurrentSlice[self.symbol])
        if not self.window.IsReady: return

        delta = self.window[0].Open - self.window[1].Close

        if delta < THRESHOLD:
            self.SetHoldings(self.symbol, 1)
            
        
    def ClosePositions(self):
        self.Liquidate()