| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 0.218% Drawdown 0.000% Expectancy 0 Net Profit 0.003% Sharpe Ratio 11.846 Probabilistic Sharpe Ratio 100.000% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.003 Beta 0.003 Annual Standard Deviation 0 Annual Variance 0 Information Ratio -21.755 Tracking Error 0.098 Treynor Ratio 1.17 Total Fees $1.00 Estimated Strategy Capacity $19000000.00 |
import pytz
class UglyBluePanda(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 9, 11) # Set Start Date
self.SetEndDate(2020, 9, 15)
self.SetCash(100000) # Set Strategy Cash
self.SetSecurityInitializer(lambda x: x.SetFillModel(ExtendedMarketHoursFillModel(self)))
self.symbol = self.AddEquity("SPY", extendedMarketHours=True).Symbol
self.ordered = 0
def OnData(self, data):
if not self.ordered:
self.ordered = True
self.MarketOrder(self.symbol, 1)
class ExtendedMarketHoursFillModel(FillModel):
def __init__(self, algo):
self.algo = algo
def Fill(self, parameters):
security = parameters.Security
order = parameters.Order
utcTime = pytz.timezone("America/New_York").localize(self.algo.Time, is_dst=None).astimezone(pytz.utc)
order_event = OrderEvent(order, utcTime, OrderFee.Zero)
order_event.FillPrice = security.Price
order_event.Status = OrderStatus.Filled
order_event.FillQuantity = order.Quantity
return Fill(order_event)