Overall Statistics
Total Trades
505
Average Win
1.29%
Average Loss
-1.64%
Compounding Annual Return
44.423%
Drawdown
29.700%
Expectancy
0.102
Net Profit
44.520%
Sharpe Ratio
1.467
Probabilistic Sharpe Ratio
56.651%
Loss Rate
38%
Win Rate
62%
Profit-Loss Ratio
0.79
Alpha
0.295
Beta
1.028
Annual Standard Deviation
0.373
Annual Variance
0.139
Information Ratio
2.058
Tracking Error
0.147
Treynor Ratio
0.533
Total Fees
$505.00
 
# Buy Open Sell Close
class BuyOpenSellClose(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 1)
        self.SetEndDate(2020, 12, 31)

        self.QQQ = self.AddEquity("QQQ", Resolution.Minute).Symbol
        buy_open_sell_close = 1
        self.Securities["QQQ"].FeeModel = ConstantFeeModel(1.0)
        
        if buy_open_sell_close:
            
            self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen('QQQ', 10),
                self.my_buys) 
            self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.BeforeMarketClose('QQQ', 0),
                self.my_sells)  
        else: 
            self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.BeforeMarketClose('QQQ', 0),
                self.my_buys) 
            self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen('QQQ', 10),
                self.my_sells) 

    def my_buys(self):
        self.SetHoldings(self.QQQ, 1)    
    
    def my_sells(self):
        self.SetHoldings(self.QQQ, 0)