| Overall Statistics |
|
Total Orders 162 Average Win 0.98% Average Loss -0.94% Compounding Annual Return -1.647% Drawdown 14.900% Expectancy -0.064 Start Equity 100000 End Equity 94671.21 Net Profit -5.329% Sharpe Ratio -0.72 Sortino Ratio -0.339 Probabilistic Sharpe Ratio 0.504% Loss Rate 54% Win Rate 46% Profit-Loss Ratio 1.05 Alpha -0.04 Beta 0.044 Annual Standard Deviation 0.052 Annual Variance 0.003 Information Ratio -0.648 Tracking Error 0.145 Treynor Ratio -0.847 Total Fees $195.13 Estimated Strategy Capacity $64000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 13.41% |
# region imports
from AlgorithmImports import *
from QuantConnect.Indicators import RollingWindow
# endregion
class QCConsolidationRollingWindows(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2018, 1, 1)
self.SetStartDate(2021, 1, 1)
self.SetCash(100000)
self.spy = self.AddEquity("SPY", Resolution.MINUTE).Symbol
self.rw = RollingWindow[TradeBar](2)
self.consolidate(self.spy, Resolution.DAILY, self.CustomBarHandler)
self.schedule.on(self.DateRules.EveryDay(self.spy),
self.time_rules.before_market_close(self.spy, 15),
self.ExitPositions)
def OnData(self, data: Slice):
if not self.rw.IsReady:
return
if not (self.time.hour == 9 and self.time.minute == 31):
return
if data[self.spy].Open >= 1.01 * self.rw[0].Close:
self.set_holdings(self.spy, -1)
elif data[self.spy].Open <= 0.99 * self.rw[0].Close:
self.set_holdings(self.spy, 1)
def CustomBarHandler(self, bar):
self.rw.Add(bar)
def ExitPositions(self):
self.liquidate(self.spy)