Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
-60.404%
Drawdown
5.100%
Expectancy
0
Net Profit
-4.426%
Sharpe Ratio
-4.127
Probabilistic Sharpe Ratio
1.117%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.07
Beta
0.943
Annual Standard Deviation
0.118
Annual Variance
0.014
Information Ratio
-1.459
Tracking Error
0.031
Treynor Ratio
-0.515
Total Fees
$1.05
Estimated Strategy Capacity
$50000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
class OpeningRangeBreakoutRevision(QCAlgorithm):
    
    openingBar = None 
    
    def Initialize(self):
        self.SetStartDate(2022, 1, 1)  
        #self.SetEndDate(2020, 12, 31)  
        self.SetCash(100000)
        self.AddEquity("SPY", Resolution.Minute, extendedMarketHours = True)
        self.Consolidate("SPY", timedelta(minutes=30), self.OnDataConsolidated)
        self.window = RollingWindow[TradeBar](2)

    def OnData(self, data):
        self.window.Add(data["SPY"])
        
        if self.Portfolio.Invested or self.openingBar is None:
            return
        
        if data["SPY"].Price > self.openingBar.High:
            self.SetHoldings("SPY", 1)
        
        elif data["SPY"].Price < self.window[1].Low:
            self.Liquidate("SPY")
         
    def OnDataConsolidated(self, bar):
        if bar.Time.hour == 9 and bar.Time.minute == 00:
            self.openingBar = bar