Overall Statistics |
Total Orders 2 Average Win 0% Average Loss 0% Compounding Annual Return 1.071% Drawdown 2.100% Expectancy 0 Start Equity 100000 End Equity 104230.05 Net Profit 4.230% Sharpe Ratio -2.346 Sortino Ratio -2.756 Probabilistic Sharpe Ratio 25.919% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.029 Beta 0.074 Annual Standard Deviation 0.01 Annual Variance 0 Information Ratio -0.768 Tracking Error 0.127 Treynor Ratio -0.325 Total Fees $0.00 Estimated Strategy Capacity $37000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 0.00% |
# region imports from AlgorithmImports import * # endregion class CharlesSchwabBrokerageExampleAlgorithm(QCAlgorithm): def initialize(self): self.set_start_date(2021, 1, 1) self.set_cash(100000) self.set_brokerage_model(BrokerageName.CHARLES_SCHWAB, AccountType.MARGIN) self._symbol = self.add_equity("SPY", Resolution.MINUTE).symbol # Set default order properites self.default_order_properties.time_in_force = TimeInForce.GOOD_TIL_CANCELED def on_data(self, data: Slice): if self.portfolio.invested: return # Place an order with the default order properties self.limit_order(self._symbol, 10, data[self._symbol].price + 10) # Place an order and with new order properties order_properties = CharlesSchwabOrderProperties() order_properties.time_in_force = TimeInForce.DAY order_properties.extended_regular_trading_hours = True ticket = self.limit_order(self._symbol, 10, round(data[self._symbol].price * .9, 2), order_properties = order_properties) # Update the order update_fields = UpdateOrderFields() update_fields.quantity = 8 update_fields.limit_price = round(data[self._symbol].price + 10, 2) update_fields.tag = "Informative order tag" response = ticket.update(update_fields) if not self.live_mode and response.is_success: self.debug("Order updated successfully")