Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
0.109%
Drawdown
0.000%
Expectancy
0
Net Profit
0.003%
Sharpe Ratio
4.831
Probabilistic Sharpe Ratio
78.708%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
-27.775
Tracking Error
0.083
Treynor Ratio
2.455
Total Fees
$1.00
 
class EmotionalFluorescentYellowOwl(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 2, 1)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
        self.roc1 = self.ROC(self.symbol, 1, Resolution.Daily) # Daily resolution trade logic
        self.roc2 = IndicatorExtensions.Of(Delay(1), self.roc1)
        
        self.Schedule.On(self.DateRules.EveryDay(self.symbol), self.TimeRules.AfterMarketOpen(self.symbol, 1), self.order)
        

    def order(self):
        self.Log(f"roc1: {self.roc1.Current.Value}; roc2: {self.roc2.Current.Value}")
        
        data = self.CurrentSlice[self.symbol]
        if not self.Portfolio.Invested and self.roc1.Current.Value > 0 and self.roc2.Current.Value > 0:
            self.MarketOrder(self.symbol, 1)
            
            # Set SL order