Overall Statistics |
Total Trades 505 Average Win 1.29% Average Loss -1.64% Compounding Annual Return 43.489% Drawdown 29.700% Expectancy 0.100 Net Profit 43.583% Sharpe Ratio 1.44 Probabilistic Sharpe Ratio 55.987% Loss Rate 38% Win Rate 62% Profit-Loss Ratio 0.79 Alpha 0.285 Beta 1.027 Annual Standard Deviation 0.373 Annual Variance 0.139 Information Ratio 1.989 Tracking Error 0.147 Treynor Ratio 0.523 Total Fees $1156.59 |
class BuyOpenSellClose(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 1, 1) self.SetEndDate(2020, 12, 31) self.QQQ = self.AddEquity("QQQ", Resolution.Minute).Symbol buy_open_sell_close = 1 if buy_open_sell_close: self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen('QQQ', 10), self.my_buys) self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.BeforeMarketClose('QQQ', 0), self.my_sells) else: self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.BeforeMarketClose('QQQ', 0), self.my_buys) self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen('QQQ', 10), self.my_sells) def my_buys(self): self.SetHoldings(self.QQQ, 1) def my_sells(self): self.SetHoldings(self.QQQ, 0)