Overall Statistics
Total Trades
39
Average Win
0.56%
Average Loss
-0.95%
Compounding Annual Return
10.921%
Drawdown
2.300%
Expectancy
0.507
Net Profit
10.911%
Sharpe Ratio
1.527
Probabilistic Sharpe Ratio
71.505%
Loss Rate
5%
Win Rate
95%
Profit-Loss Ratio
0.59
Alpha
0
Beta
0
Annual Standard Deviation
0.05
Annual Variance
0.002
Information Ratio
1.527
Tracking Error
0.05
Treynor Ratio
0
Total Fees
$39.00
Estimated Strategy Capacity
$370000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
#region imports
from AlgorithmImports import *
#endregion
from QuantConnect.Indicators import *

import decimal as d
class BBAlgorithm(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2021, 1, 1)
        self.SetEndDate(2022, 1, 1)
        self.SetCash(778)             #Set Strategy Cash
        self.ticker = 'SPY'
        self.symbol = self.AddEquity(self.ticker, Resolution.Hour).Symbol
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin)
        x=25
        period_BB = 25
        self.Bolband = self.BB(self.ticker, period_BB, 2, MovingAverageType.Simple, Resolution.Hour)
        self.SetWarmUp(x)
        self.Schedule.On(self.DateRules.EveryDay(self.ticker), self.TimeRules.AfterMarketOpen(self.ticker,10), self.EveryDayAfterMarketOpen)
    def EveryDayAfterMarketOpen(self):
        self.turn_trading_on = True
    def OnData(self, data):
        if self.IsWarmingUp != False:
            return
        holdings = self.Portfolio[self.ticker].Quantity
        price = self.Securities[self.ticker].Close
        quantity=1
        if holdings <= 0:
            if price <= self.Bolband.LowerBand.Current.Value:
                self.MarketOrder(self.ticker, quantity)  
        if holdings > 0:  
            if price >= self.Bolband.UpperBand.Current.Value:
                self.MarketOrder(self.ticker, quantity*-1)