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
-2.439
Tracking Error
0.142
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
class TradeStrategyTest(QCAlgorithm):
   
   def Initialize(self):
        self.SetStartDate(2021,1, 1)  #Set Start Date
        self.SetEndDate(2021,6,1)    #Set End Date
        self.SetCash(10000)           #Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)
        self.SetWarmUp(14)
        
        self.RSI1 = self.RSI("SPY", 14,  MovingAverageType.Simple, Resolution.Daily)
        
        self.previous_day_close = self.Securities["SPY"].Price
        self.expiry = self.Time
       
   def OnData(self, data):
       
        if self.IsWarmingUp or not data.Bars.ContainsKey("SPY") or not self.RSI1.IsReady:
            return
       
        if self.Time >= self.expiry:
            self.previous_day_close = data["SPY"].Close
            self.expiry = Expiry.EndOfDay(self.Time)
            
        self.previous_bar_close = data["SPY"].Close
        self.change_from_close = (self.previous_day_close - self.previous_bar_close)
   
        if not self.Securities["SPY"].Invested:
           
            if -10 >= self.change_from_close and self.change_from_close <= -4:
                self.MarketOrder("SPY", 1) 
        else:
           
            if self.RSI1.Current.Value > 70:
                self.Liquidate()