| Overall Statistics |
|
Total Orders 518 Average Win 2.06% Average Loss -2.17% Compounding Annual Return 7.433% Drawdown 35.400% Expectancy 0.346 Start Equity 10000 End Equity 62407.06 Net Profit 524.071% Sharpe Ratio 0.326 Sortino Ratio 0.167 Probabilistic Sharpe Ratio 0.121% Loss Rate 31% Win Rate 69% Profit-Loss Ratio 0.95 Alpha 0.018 Beta 0.239 Annual Standard Deviation 0.108 Annual Variance 0.012 Information Ratio -0.198 Tracking Error 0.195 Treynor Ratio 0.147 Total Fees $1239.88 Estimated Strategy Capacity $99000000.00 Lowest Capacity Asset QQQ RIWIV7K5Z9LX Portfolio Turnover 5.54% |
from AlgorithmImports import *
class SimpleSpyClimber(QCAlgorithm):
"""
Inspired by quantitativo : https://www.quantitativo.com/p/turnaround-tuesdays-on-steroids
Entry rules:
-----------------------
- Today is Tuesday
- Yesterday's close (Monday) was lower than Friday's
- Friday's close was lower than Thursday's;
- Go long at the opening.
Exit rules
-----------------------
- Exit the trade when the close is higher than yesterday's high.
"""
def Initialize(self):
## Init backtest params, etc
self.ticker = "QQQ" # Ticker symbol to trade
self.SetBenchmark(self.ticker) # Benchmark for reporting (buy and hold)
self.SetStartDate(1999, 1, 1) # Backtest start date
self.SetEndDate(2024, 7, 9) # Backtest end date
self.SetCash(10000) # Starting portfolio balance
## Subscrbe to an hourly data feed (hour bars)
self.symbol = self.AddEquity(self.ticker, Resolution.Hour).symbol
## Set up a daily bar consolidator
self.dailyConsolidator = TradeBarConsolidator(timedelta(days=1))
self.dailyConsolidator.DataConsolidated += lambda _, dailyBar: self.barsWindow.add(dailyBar)
self.SubscriptionManager.AddConsolidator(self.symbol, self.dailyConsolidator)
## Set up a rollingwindow to store recent bars
self.barsWindow = RollingWindow[TradeBar](3)
## Schedule a weekly chron job to run on tuesday after the first hour of trading
self.Schedule.On(self.DateRules.Every(DayOfWeek.Tuesday),
self.TimeRules.AfterMarketOpen(self.ticker, 60), \
self.CheckForEntry)
def CheckForEntry(self):
"""
- Yesterday's close (Monday) was lower than Friday's
- Friday's close was lower than Thursday's;
- Go long at the opening.
"""
if self.barsWindow.IsReady:
if not self.Portfolio.Invested:
monBar, friBar, thursBar = self.barsWindow[0],self.barsWindow[1],self.barsWindow[2]
if( monBar.close < friBar.close < thursBar.close ):
self.SetHoldings(self.ticker, 1)
def OnData(self, dataSlice):
## Make sure we have data for this ticker before we check for our entry conditions
if( dataSlice.ContainsKey(self.ticker)) and (dataSlice[self.ticker] is not None ):
## The price that the last bar closed at
closePrice = dataSlice[self.ticker].Close
if self.Portfolio.Invested:
# Exit the trade when the close is higher than yesterday's high.
if (self.barsWindow[0].close > self.barsWindow[1].high):
self.Liquidate(tag=f"Exit @ last close > prev high: {self.barsWindow[0].close} > {self.barsWindow[1].high}")