Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
25.536%
Drawdown
5.500%
Expectancy
0
Net Profit
23.260%
Sharpe Ratio
1.671
Probabilistic Sharpe Ratio
72.812%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0.106
Annual Variance
0.011
Information Ratio
1.671
Tracking Error
0.106
Treynor Ratio
0
Total Fees
$1.34
Estimated Strategy Capacity
$88000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
# Take Profit and Stop Loss with LastTradeProfit

# https://www.quantconnect.com/forum/discussion/12754/stop-market-and-limit-order-both-filling-how-to-manage-sl-and-tp
# ------------------------------------------------
STOCK = 'SPY'; LEV = 1.00; PT = 0.004; SL = -0.004;  
# ------------------------------------------------

class MuscularSkyBlueLlama(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 1, 1)   
        self.SetCash(100000)  
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin)
        self.stock = self.AddEquity(STOCK, Resolution.Minute).Symbol


    def OnData(self, data):
        if not self.IsMarketOpen(self.stock): return
    
        pnl = self.Portfolio[self.stock].LastTradeProfit

        if not self.Securities[self.stock].Invested: 
            self.SetHoldings(self.stock, LEV)

        elif self.Securities[self.stock].Invested:  
            if pnl >= PT or pnl < SL: 
                self.SetHoldings(self.stock, 0)