Overall Statistics
Total Trades
5
Average Win
0%
Average Loss
-0.01%
Compounding Annual Return
-0.306%
Drawdown
0.000%
Expectancy
-1
Net Profit
-0.007%
Sharpe Ratio
-3.007
Probabilistic Sharpe Ratio
24.686%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.003
Beta
0.003
Annual Standard Deviation
0.001
Annual Variance
0
Information Ratio
-4.943
Tracking Error
0.092
Treynor Ratio
-0.509
Total Fees
$5.00
Estimated Strategy Capacity
$2900000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
# region imports
from AlgorithmImports import *
# endregion

class HipsterYellowGreenHippopotamus(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 7, 1)
        self.SetEndDate(2021, 7, 9)
        self.SetCash(100000)
        self.UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw
        self.AddEquity("SPY")

    def OnData(self, data):
        if not self.Portfolio.Invested:
            quantity = 1
            factor = 0.99
            if self.Time.day % 2 != 0:
                quantity = -1
                factor = 1.01
            
            self.MarketOrder("SPY", quantity)
            self.StopMarketOrder("SPY", -quantity, data["SPY"].Close * factor)