| Overall Statistics |
|
Total Trades 291 Average Win 0.28% Average Loss -0.14% Compounding Annual Return 9.590% Drawdown 2.900% Expectancy 0.270 Net Profit 5.462% Sharpe Ratio 1.068 Loss Rate 58% Win Rate 42% Profit-Loss Ratio 2.02 Alpha 0.067 Beta 0.041 Annual Standard Deviation 0.073 Annual Variance 0.005 Information Ratio -1.608 Tracking Error 0.127 Treynor Ratio 1.929 Total Fees $291.00 |
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Securities import *
from QuantConnect.Data.Market import *
from QuantConnect.Orders import *
from datetime import datetime
### <summary>
### Demonstration of the Market On Close order for US Equities.
### </summary>
### <meta name="tag" content="trading and orders" />
### <meta name="tag" content="placing orders" />
class MarketOnOpenOnCloseAlgorithm(QCAlgorithm):
def Initialize(self):
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
self.SetStartDate(2019,1,1) #Set Start Date
self.SetEndDate(2019,7,31) #Set End Date
self.SetCash(100000) #Set Strategy Cash
# Find more symbols here: http://quantconnect.com/data
self.equity = self.AddEquity("ILMN", Resolution.Second, fillDataForward = True, extendedMarketHours = True)
self.__submittedMarketOnCloseToday = False
self.__last = datetime.min
def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''
if self.Time.date() != self.__last.date(): # each morning submit a market on open order
self.__submittedMarketOnCloseToday = False
self.MarketOnOpenOrder("ILMN", 100)
self.__last = self.Time
if not self.__submittedMarketOnCloseToday and self.equity.Exchange.ExchangeOpen: # once the exchange opens submit a market on close order
self.__submittedMarketOnCloseToday = True
self.MarketOnCloseOrder("ILMN", -100)
def OnOrderEvent(self, fill):
order = self.Transactions.GetOrderById(fill.OrderId)
self.Log("{0} - {1}:: {2}".format(self.Time, order.Type, fill))