Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
class CasualApricotChicken(QCAlgorithm):

    def Initialize(self):
        
        self.SetStartDate(2022, 3, 20)
        self.SetEndDate(2022, 3, 20)
        self.SetCash(25000)
        self.stopLossBuffer = 0.05
        self.takeProfitPercentage = 0.005
        
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage)
        self.ticker = self.AddEquity("QQQ", Resolution.Minute).Symbol
        self.Consolidate(self.ticker, timedelta(minutes=5), self.BarHandler)
        self.window = RollingWindow[TradeBar](4)
        #self.SetRiskManagement(MaximumDrawdownPercentPerSecurity(0.015))
        

    def OnData(self, data):
        
        self.window.Add(data[self.ticker])

        if not self.window.IsReady: return

        #3bar reversal trade
        tickD = self.window[0]
        tickC = self.window[1]
        tickB = self.window[2]
        tickA = self.window[3]
        
        #downtrend reveral (long positioning)
        if not self.Portfolio.Invested and (tickA.Close > tickB.Close) and (tickB.Close > tickC.Close) and (tickC.Close < tickD.Close):
            self.SetHoldings(self.ticker, 1)
            self.quantity = -self.Portfolio[self.ticker].Quantity
            self.stopMarketPrice = tickC.Low
            self.StopMarketOrder(self.ticker, self.quantity, self.stopMarketPrice)
            self.takeProfitPrice = tickA.High
            #self.takeProfitPrice = self.Portfolio[self.ticker].Price * (1 + self.takeProfitPercentage)
        
        elif self.Portfolio.Invested and self.Portfolio[self.ticker].Price >= self.takeProfitPrice:
            self.Transactions.CancelOpenOrders()
            self.Liquidate()
            #self.LimitOrder(self.ticker, -self.quantity, self.price)
    
    def BarHandler(self, consolidated):
        return