Overall Statistics
Total Trades
304
Average Win
0.31%
Average Loss
-0.38%
Compounding Annual Return
-1.620%
Drawdown
9.700%
Expectancy
-0.076
Net Profit
-4.490%
Sharpe Ratio
-0.36
Probabilistic Sharpe Ratio
0.687%
Loss Rate
49%
Win Rate
51%
Profit-Loss Ratio
0.82
Alpha
-0.032
Beta
0.116
Annual Standard Deviation
0.043
Annual Variance
0.002
Information Ratio
-1.423
Tracking Error
0.115
Treynor Ratio
-0.132
Total Fees
$616.76
 
class OpeningRangeBreakout(QCAlgorithm):#inheritance of class QCAlgorithm
    
    openingBar = None #variable used while creating consolidated bar for first 30 min to save high,low,close
    
    secondaryBar = None# variabe to save 2nd 30 min bar data 
    
    def Initialize(self):
        self.SetStartDate(2016, 7, 10)  #start date
        
        self.SetEndDate(2019, 5, 2)  #end date
        
        self.SetCash(100000)#enter the cah amount
        
        self.AddEquity("SPY", Resolution.Minute)#"spy" equity is added,giving updated high low for a minute
        
        self.Consolidate("SPY", timedelta(minutes=30), self.OnDataConsolidated)
        #creating a consolidation by aggregating the 30 1 min bar obtained from resolution.minute
        
        self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.BeforeMarketClose("SPY", 10), self.ClosePositions)
        #trigger a method at particular time,i.e closeposition(mentioned below)
        #trigger the sschedule even before 10 min of market close
   
    def OnData(self, data):
        
        #If self.Portfolio.Invested is true, or if the openingBar is None, return
        if self.Portfolio.Invested or self.openingBar is None or self.secondaryBar is None:
            return
        #self.Debug("portfolo:" + str(self.Portfolio.Invested))
        
        #Check if the close price is above the high price, if so go 100% long on SPY 
        if self.secondaryBar.Close > self.openingBar.High:
            self.SetHoldings("SPY", 1)#buy 100 % for spy
            self.Debug("time" + str(self.Time))#debug is like print statement,self. time provide the exact time
            self.Debug("op time" + str(self.openingBar.EndTime))#provide time at the end of 1st baar, i.e 10am
            self.Debug("sectime" + str(self.secondaryBar.EndTime))#provide time at the end of 2nd bar i.e 10:30am
            
#there is no need for other condition,like if secondaryBar.close<openingBar.low,we are not gonna make any buy in that case.

        
    def OnDataConsolidated(self, bar):#it stores the high low/low/close of bar for the mentioned duration 
        if bar.Time.hour == 9 and bar.Time.minute == 30:
            self.openingBar = bar
        if bar.Time.hour == 10 and bar.Time.minute == 0:
            self.secondaryBar = bar
    
    def ClosePositions(self):#this method is called by self.scheduled at a given time during end of the day
        # Set self.openingBar to None, and liquidate SPY 
        self.secondaryBar = None
        self.openingBar = None#reset bar at the given time of triggerring of self.scheduled
        #self.Debug("beforeliquid"+str(self.Portfolio["SPY"].Quantity))
        self.Liquidate("SPY")#sell every thing if bought
        #self.Debug("afterliquid"+str(self.Portfolio["SPY"].Quantity))