| Overall Statistics |
|
Total Trades 5 Average Win 0% Average Loss -0.05% Compounding Annual Return 0.275% Drawdown 0.100% Expectancy -1 Net Profit 0.276% Sharpe Ratio 1.129 Probabilistic Sharpe Ratio 56.059% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.001 Beta 0.004 Annual Standard Deviation 0.002 Annual Variance 0 Information Ratio -0.599 Tracking Error 0.277 Treynor Ratio 0.45 Total Fees $5.00 Estimated Strategy Capacity $45000000000.00 Lowest Capacity Asset AAPL R735QTJ8XC9X |
class VirtualRedJellyfish(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 1, 1) # Set Start Date
self.SetEndDate(2020,12,31)
self.SetCash(100000) # Set Strategy Cash
self.apple = self.AddEquity("AAPL",Resolution.Daily).Symbol
self.stopLoss = None
self.takeProfit = None
def OnData(self, data):
if not self.Portfolio.Invested:
self.MarketOrder(self.apple,5)
self.stopLoss = self.StopMarketOrder(self.apple,-5,57)
self.takeProfit = self.LimitOrder(self.apple,-5,150)
def OnOrderEvent(self,orderEvent):
if(orderEvent.Status != OrderStatus.Filled):
return
if(self.stopLoss == None or self.takeProfit == None):
return
order = self.Transactions.GetOrderById(orderEvent.OrderId)
if(self.stopLoss.OrderId == order.Id):
self.takeProfit.Cancel()
return
if(self.takeProfit.OrderId == order.Id):
self.stopLoss.Cancel()
return