Overall Statistics
Total Trades
190
Average Win
1.18%
Average Loss
-0.95%
Compounding Annual Return
-1.923%
Drawdown
22.400%
Expectancy
-0.055
Net Profit
-5.662%
Sharpe Ratio
-0.21
Probabilistic Sharpe Ratio
1.864%
Loss Rate
58%
Win Rate
42%
Profit-Loss Ratio
1.24
Alpha
-0.01
Beta
-0.037
Annual Standard Deviation
0.078
Annual Variance
0.006
Information Ratio
-0.75
Tracking Error
0.249
Treynor Ratio
0.44
Total Fees
$343.38
Estimated Strategy Capacity
$71000000.00
 
class GapReversalAlgo(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2018, 1, 1)
        self.SetEndDate(2021, 1, 1)
        self.SetCash(100000)
        self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
        self.rollingWindow = RollingWindow[TradeBar](2)
        self.Consolidate(self.symbol, Resolution.Daily, self.CustomBarHandler)
        
        self.Schedule.On(self.DateRules.EveryDay(self.symbol),
                 self.TimeRules.BeforeMarketClose(self.symbol, 15),      
                 self.ExitPositions)

    def OnData(self, data):
        
        if not self.rollingWindow.IsReady:
            return
        
        if not (self.Time.hour == 9 and self.Time.minute == 31):
            return
        
        # Gap Up => Sell
        if data[self.symbol].Open >= 1.01*self.rollingWindow[0].Close:
            self.SetHoldings(self.symbol, -1)
        # Gap Down => Buy
        elif data[self.symbol].Open <= 0.99*self.rollingWindow[0].Close:
            self.SetHoldings(self.symbol, 1)

    def CustomBarHandler(self, bar):
        self.rollingWindow.Add(bar)

    def ExitPositions(self):
        self.Liquidate(self.symbol)