Overall Statistics
Total Trades
2
Average Win
1.24%
Average Loss
0%
Compounding Annual Return
89.975%
Drawdown
0.800%
Expectancy
0
Net Profit
1.238%
Sharpe Ratio
11.074
Probabilistic Sharpe Ratio
99.836%
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
0.695
Beta
0.076
Annual Standard Deviation
0.061
Annual Variance
0.004
Information Ratio
4.025
Tracking Error
0.218
Treynor Ratio
8.898
Total Fees
$3.05
 
import datetime
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from time import sleep

class ControllClass(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 9, 20)  # Set Start Date
        self.SetEndDate(2020, 9, 26)
        self.SetCash(100000)  # Set Strategy Cash
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Cash)
        
        self.Settings.FreePortfolioPercentage = 0.8
        self.weekDays = ("Monday","Tuesday","Wednesday","Thursday","Friday","Saturday","Sunday")
        
        self.symbols = []
        self.openAt = datetime.time(15,55)
        
        self.spy = self.AddEquity("SPY").Symbol
        self.symbols.append(self.spy)
        self.gld = self.AddEquity("GLD").Symbol
        self.symbols.append(self.gld)
        
        
        self.Schedule.On(self.DateRules.Every(
            DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Friday),
            self.TimeRules.BeforeMarketClose(self.spy, 21), self.closePositions)
        
        self.sma = self.SMA(self.spy, 34, Resolution.Daily)
        self.SetWarmUp(timedelta(days=34))
        
        self.traded = False
        

    def OnData(self, data):
        if self.IsWarmingUp: return
        if not self.Time.time() >= self.openAt: return
        
        self.Plot("Portfolio", "Cash", self.Portfolio.Cash)
        self.Plot("Portfolio", "UnsettledCash", self.Portfolio.UnsettledCash)
        
        if self.Time.weekday() == 0 and not self.traded:
            if not self.Portfolio[self.spy].Invested and data[self.spy].Close < self.sma.Current.Value:
                self.SetHoldings(self.spy, 1, True)
                self.traded = True


    def closePositions(self):
        if self.Portfolio.Invested:
            self.Liquidate()
            self.Log(f"Liquidated at {self.Time}")
        
    def OnOrderEvent(self, event):
        if event.Quantity == 0: return
        self.Debug(str(event))