Overall Statistics
Total Trades
1528
Average Win
0.14%
Average Loss
-0.07%
Compounding Annual Return
32.671%
Drawdown
3.100%
Expectancy
0.074
Net Profit
3.681%
Sharpe Ratio
3.094
Probabilistic Sharpe Ratio
70.946%
Loss Rate
65%
Win Rate
35%
Profit-Loss Ratio
2.03
Alpha
0.002
Beta
0.703
Annual Standard Deviation
0.118
Annual Variance
0.014
Information Ratio
-2.223
Tracking Error
0.068
Treynor Ratio
0.517
Total Fees
$2018.31
 
class VirtualApricotBee(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 1, 1)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
        self.window = RollingWindow[TradeBar](5)
        


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

        if not self.window.IsReady:
            return
        
        green_candles = 0
        for candle in self.window:
            green_candles += int(candle.Open < candle.Close)
        if green_candles >= 2:
            self.SetHoldings(self.symbol, 1)
        else:
            self.SetHoldings(self.symbol, 0)