Overall Statistics
Total Trades
41
Average Win
0.17%
Average Loss
-0.16%
Compounding Annual Return
-3.311%
Drawdown
1.000%
Expectancy
-0.083
Net Profit
-0.274%
Sharpe Ratio
-0.731
Probabilistic Sharpe Ratio
28.633%
Loss Rate
55%
Win Rate
45%
Profit-Loss Ratio
1.04
Alpha
-0.04
Beta
-0.229
Annual Standard Deviation
0.031
Annual Variance
0.001
Information Ratio
0.397
Tracking Error
0.134
Treynor Ratio
0.1
Total Fees
$41.00
Estimated Strategy Capacity
$910000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
class DailyBuySellSPY(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2021, 11, 1)  # Set Start Date
        self.SetEndDate(2021, 11, 30)  # Set End Date
        
        self.SetCash(100000)  # Set Strategy Cash
        
        Symbol = "SPY"
        self.symbol = self.AddEquity(Symbol).Symbol
        
        self.Schedule.On(self.DateRules.EveryDay(self.symbol), self.TimeRules.AfterMarketOpen (self.symbol, -30), self.ExecuteBuy)
        self.Schedule.On(self.DateRules.EveryDay(self.symbol), self.TimeRules.BeforeMarketClose (self.symbol, 30), self.ExecuteSell)
        
    def ExecuteBuy (self):
       self.MarketOnOpenOrder(self.symbol, 100)
        
    def ExecuteSell (self):
       self.MarketOnCloseOrder(self.symbol, -100)