| Overall Statistics |
|
Total Trades 2 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Sortino Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio 0 Tracking Error 0 Treynor Ratio 0 Total Fees $2.00 Estimated Strategy Capacity $26000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 4.30% |
#region imports
using System;
using System.Collections;
using System.Collections.Generic;
using System.Linq;
using System.Globalization;
using System.Drawing;
using QuantConnect;
using QuantConnect.Algorithm.Framework;
using QuantConnect.Algorithm.Framework.Selection;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Parameters;
using QuantConnect.Benchmarks;
using QuantConnect.Brokerages;
using QuantConnect.Util;
using QuantConnect.Interfaces;
using QuantConnect.Algorithm;
using QuantConnect.Indicators;
using QuantConnect.Data;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Custom;
using QuantConnect.DataSource;
using QuantConnect.Data.Fundamental;
using QuantConnect.Data.Market;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Notifications;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.Slippage;
using QuantConnect.Scheduling;
using QuantConnect.Securities;
using QuantConnect.Securities.Equity;
using QuantConnect.Securities.Future;
using QuantConnect.Securities.Option;
using QuantConnect.Securities.Forex;
using QuantConnect.Securities.Interfaces;
using QuantConnect.Storage;
using QuantConnect.Data.Custom.AlphaStreams;
using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion
namespace QuantConnect.Algorithm.CSharp
{
public class PensiveRedBee : QCAlgorithm
{
private Symbol _symbol;
public override void Initialize()
{
SetStartDate(2021, 7, 1);
SetEndDate(2021, 7, 4);
SetCash(100000);
UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw;
_symbol = AddEquity("SPY").Symbol;
}
public override void OnData(Slice data)
{
if (Time.Day == 1 && Time.Hour == 9 && Time.Minute == 31)
{
LimitIfTouchedOrder(_symbol, 10, 429.0m, 428.95m);
}
else if (Time.Day == 2 && Time.Hour == 9 && Time.Minute == 31)
{
LimitIfTouchedOrder(_symbol, -10, 431.7m, 431.75m);
LimitIfTouchedOrder(_symbol, 10, 431.7m, 400.0m);
LimitIfTouchedOrder(_symbol, 10, 400.0m, 400.0m);
}
}
}
}