Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
0.043%
Drawdown
0.100%
Expectancy
0
Net Profit
0.021%
Sharpe Ratio
0.314
Probabilistic Sharpe Ratio
29.736%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.001
Beta
-0.001
Annual Standard Deviation
0.001
Annual Variance
0
Information Ratio
-0.543
Tracking Error
0.409
Treynor Ratio
-0.446
Total Fees
$1.00
 
class OptimizedCalibratedReplicator(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 2, 24)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        
        self.AddEquity("SPY", Resolution.Daily)
        self.entry_ticket = None
        self.stop_loss_ticket = None


    def OnData(self, data):
        if self.stop_loss_ticket is None:
            self.entry_ticket = self.MarketOrder("SPY", 1)
            stop_price = self.entry_ticket.AverageFillPrice * 0.9
            self.stop_loss_ticket = self.StopMarketOrder("SPY", -1, stop_price)
            
    def OnOrderEvent(self, orderevent):
        if orderevent.Status != OrderStatus.Filled:
            return
        
        if self.entry_ticket is not None and \
            self.entry_ticket.OrderId == orderevent.OrderId:
            self.entry_ticket = None
        
        if self.stop_loss_ticket is not None and \
            self.stop_loss_ticket.OrderId == orderevent.OrderId:
            self.stop_loss_ticket = None