Overall Statistics
Total Trades
5
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$5.00
Estimated Strategy Capacity
$540000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
class FocusedFluorescentPinkScorpion(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 6)
        self.SetCash(100000) 
        self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
        self.average_fill_prices = []
        
        self.days = 0

    def OnData(self, data):
        if not (data.ContainsKey(self.symbol) and data[self.symbol] is not None):
            return
        self.days += 1
        
        if self.days < 5:
           ticket = self.MarketOrder("SPY", 1)
           self.Debug(f"Ticket fill price: {ticket.AverageFillPrice}")
           self.average_fill_prices.append(ticket.AverageFillPrice)
           self.Debug(f"Average price calculated: {sum(self.average_fill_prices) / len(self.average_fill_prices)} Average price: {self.Portfolio[self.symbol].AveragePrice}")
        else:
            ticket = self.MarketOrder("SPY", -1)
            #self.average_fill_prices.pop(-1)
            self.Debug(f"Average price calculated: {sum(self.average_fill_prices) / len(self.average_fill_prices)} Average price: {self.Portfolio[self.symbol].AveragePrice}")
            self.Quit()