| Overall Statistics |
|
Total Trades 24 Average Win 0.90% Average Loss -0.45% Compounding Annual Return 94.138% Drawdown 1.500% Expectancy 0.503 Net Profit 2.702% Sharpe Ratio 6.296 Probabilistic Sharpe Ratio 84.774% Loss Rate 50% Win Rate 50% Profit-Loss Ratio 2.01 Alpha 0.564 Beta -0.3 Annual Standard Deviation 0.127 Annual Variance 0.016 Information Ratio 4.013 Tracking Error 0.392 Treynor Ratio -2.655 Total Fees $29.34 Estimated Strategy Capacity $45000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
# Opening Range Breakout
# --------------------------------------------------------------
STOCK = "SPY"; PERIOD = 30; SL = -0.005; TP = 0.01;
# --------------------------------------------------------------
class OpeningRangeBreakout(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2022, 4, 28)
self.SetEndDate(2022, 5, 12)
self.SetCash(100000)
self.stock = self.AddEquity(STOCK, Resolution.Minute).Symbol
self.hh = self.MAX(self.stock, PERIOD, Resolution.Minute, Field.High)
self.ll = self.MIN(self.stock, PERIOD, Resolution.Minute, Field.Low)
self.SetWarmUp(PERIOD, Resolution.Minute)
self.first_30_min_HH = 0
self.first_30_min_LL = 0
self.Schedule.On(self.DateRules.EveryDay(self.stock), self.TimeRules.AfterMarketOpen(self.stock, 31),
self.MorningCheck)
self.Schedule.On(self.DateRules.EveryDay(self.stock), self.TimeRules.BeforeMarketClose(self.stock, 1),
self.EOD)
def MorningCheck(self):
if self.IsWarmingUp: return
if not (self.hh.IsReady or self.ll.IsReady): return
self.first_30_min_HH = self.hh.Current.Value
self.first_30_min_LL = self.ll.Current.Value
def OnData(self, data):
if self.IsWarmingUp: return
if not (self.hh.IsReady or self.ll.IsReady): return
price = self.Securities[self.stock].Price
pnl = self.Securities[self.stock].Holdings.UnrealizedProfitPercent
if self.Portfolio[self.stock].Invested:
if pnl >= TP:
self.Liquidate(self.stock, "Take Profit")
elif pnl < SL:
self.Liquidate(self.stock, "Stop Loss")
if (self.Time.time() < time(10, 2) or self.Time.time() >= time(11, 2)): return []
if (self.first_30_min_HH == 0 or self.first_30_min_LL == 0): return
if not self.Portfolio[self.stock].Invested:
if price > self.first_30_min_HH:
self.SetHoldings(self.stock, 1)
elif price < self.first_30_min_LL:
self.SetHoldings(self.stock, -1)
def EOD(self):
self.first_30_min_HH = 0
self.first_30_min_LL = 0
if self.Portfolio[self.stock].Invested:
self.Liquidate(self.stock, "EOD")