| Overall Statistics |
|
Total Trades 12 Average Win 0.93% Average Loss -0.57% Compounding Annual Return 26.440% Drawdown 1.100% Expectancy 0.753 Net Profit 2.582% Sharpe Ratio 3.295 Probabilistic Sharpe Ratio 80.933% Loss Rate 33% Win Rate 67% Profit-Loss Ratio 1.63 Alpha 0.172 Beta -0.044 Annual Standard Deviation 0.055 Annual Variance 0.003 Information Ratio 2.226 Tracking Error 0.173 Treynor Ratio -4.107 Total Fees $39.16 Estimated Strategy Capacity $2800000.00 Lowest Capacity Asset CMB R735QTJ8XC9X |
# Bill Williams Fractal Indicator
STOCK = 'JPM';
class BillWilliamsFractal(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2022, 1, 1)
#self.SetEndDate(2021, 11, 11)
self.stock = self.AddEquity(STOCK, Resolution.Minute).Symbol
self.Schedule.On(self.DateRules.EveryDay(self.stock),
self.TimeRules.AfterMarketOpen(self.stock, 10),
self.EveryDayAfterMarketOpen)
def OnData(self,data):
if not self.Portfolio.Invested:
return
if (self.UtcTime - self.ticket.Time).total_seconds()/3600 >= 1:
self.Liquidate(STOCK)
def EveryDayAfterMarketOpen(self):
H = self.History(self.stock, 5, Resolution.Daily)['high']
L = self.History(self.stock, 5, Resolution.Daily)['low']
upFractal = (L[-5] > L[-3] < L[-4]) and (L[-2] > L[-3] < L[-1])
dnFractal = (H[-5] < H[-3] > H[-4]) and (H[-2] < H[-3] > H[-1])
bull = 1 if upFractal else 0
bear = -1 if dnFractal else 0
if upFractal:
quantity = self.CalculateOrderQuantity(self.stock, -1)
self.ticket = self.MarketOrder(self.stock, quantity)
if dnFractal:
quantity = self.CalculateOrderQuantity(self.stock, -1)
self.ticket = self.MarketOrder(self.stock, quantity)
self.Plot("Indicator", "bull", bull)
self.Plot("Indicator", "bear", bear)