| Overall Statistics |
|
Total Trades 382 Average Win 0.52% Average Loss -0.28% Compounding Annual Return 19.400% Drawdown 11.700% Expectancy 0.648 Net Profit 49.491% Sharpe Ratio 1.358 Probabilistic Sharpe Ratio 68.299% Loss Rate 42% Win Rate 58% Profit-Loss Ratio 1.85 Alpha 0.065 Beta 0.399 Annual Standard Deviation 0.103 Annual Variance 0.011 Information Ratio -0.356 Tracking Error 0.137 Treynor Ratio 0.351 Total Fees $1041.15 Estimated Strategy Capacity $12000000.00 Lowest Capacity Asset BND TRO5ZARLX6JP |
# Price - Moving Average(4 Hour bar) Cross
# -----------------------------------
STOCK = "SPY"; BOND = "BND"; MA = 20;
# -----------------------------------
class PMAC_FourHourBar(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019, 8, 1)
self.SetEndDate(2021, 11, 5)
self.SetCash(100000)
self.stock = self.AddEquity(STOCK, Resolution.Hour).Symbol
self.bond = self.AddEquity(BOND, Resolution.Hour).Symbol
consolidator = TradeBarConsolidator(timedelta(hours = 4))
self.SubscriptionManager.AddConsolidator(self.stock, consolidator)
self.sma = SimpleMovingAverage(MA)
self.RegisterIndicator(self.stock, self.sma, consolidator)
self.SetWarmUp(4*MA, Resolution.Hour)
self.uptrend = 0
def OnData(self, data):
if self.IsWarmingUp: return
if not self.sma.IsReady or self.stock not in data or self.bond not in data:
return
if data[self.stock].Price >= self.sma.Current.Value and not self.uptrend:
self.SetHoldings(self.stock, 0.8)
self.SetHoldings(self.bond, 0.2)
self.uptrend = 1
elif data[self.stock].Price < self.sma.Current.Value and self.uptrend:
self.SetHoldings(self.stock, 0.2)
self.SetHoldings(self.bond, 0.8)
self.uptrend = 0
self.Plot("Benchmark", "SMA", self.sma.Current.Value)