| Overall Statistics |
|
Total Trades 25 Average Win 0.96% Average Loss -1.06% Compounding Annual Return -0.148% Drawdown 3.700% Expectancy 0.112 Net Profit -0.148% Sharpe Ratio 0.01 Probabilistic Sharpe Ratio 13.497% Loss Rate 42% Win Rate 58% Profit-Loss Ratio 0.91 Alpha -0.006 Beta 0.036 Annual Standard Deviation 0.06 Annual Variance 0.004 Information Ratio -0.667 Tracking Error 0.295 Treynor Ratio 0.018 Total Fees $0.00 Estimated Strategy Capacity $360000.00 Lowest Capacity Asset AUDCAD 8G |
import json
class HeikinAshiBollingerBand(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 1, 1)
self.SetEndDate(2020, 12, 31)
self.SetCash(100000)
self.SetWarmUp(10)
self.fx = self.AddForex('AUDCAD', Resolution.Daily, Market.Oanda).Symbol
self.ha = self.HeikinAshi(self.fx)
self.bb = IndicatorExtensions.Of(self.BB(self.fx, 10, 2), self.ha)
self.store = {'log': [], 'orders': []}
self.order = None
def OnData (self, data):
if self.IsWarmingUp or not(self.ha.IsReady or self.bb.IsReady): return
pb = round(self.bb.PercentB.Current.Value, 2)
self.store['log'].append({
'time': str(self.Time),
'open': data[self.fx].Open,
'high': data[self.fx].High,
'low': data[self.fx].Low,
'close': data[self.fx].Close,
'haopen': self.ha.Open.Current.Value,
'hahigh': self.ha.High.Current.Value,
'halow': self.ha.Low.Current.Value,
'haclose': self.ha.Close.Current.Value,
'price': self.bb.Price.Current.Value,
'upper': self.bb.UpperBand.Current.Value,
'middle': self.bb.MiddleBand.Current.Value,
'lower': self.bb.LowerBand.Current.Value,
'stdev': self.bb.StandardDeviation.Current.Value,
'pb': pb
})
if not self.Portfolio[self.fx].Invested:
if pb < 0:
self.order = self.SetHoldings(self.fx, 1, False, f'ENTER long pb {pb}')
elif pb > 1:
self.order = self.SetHoldings(self.fx, -1, False, f'ENTER short pb {pb}')
else:
isLong = self.Portfolio[self.fx].IsLong
isShort = self.Portfolio[self.fx].IsShort
if (isLong and pb > 1):
self.Liquidate(self.fx, f'EXIT long pb {pb}')
elif (isShort and pb < 0):
self.Liquidate(self.fx, f'EXIT short pb {pb}')
def OnOrderEvent(self, orderEvent):
order = self.Transactions.GetOrderById(orderEvent.OrderId)
ticket = self.Transactions.GetOrderTicket(orderEvent.OrderId)
if orderEvent.Status == OrderStatus.Filled:
self.store['orders'].append({
'time': str(ticket.Time),
'symbol': self.fx.Value,
'type': order.Type,
'price': ticket.AverageFillPrice,
'quantity': ticket.QuantityFilled,
'status': order.Status,
'value': int(ticket.AverageFillPrice * ticket.QuantityFilled),
'tag': ticket.Tag,
'direction': order.Direction
})
def OnEndOfAlgorithm(self):
self.ObjectStore.Save('log', json.dumps(self.store['log']))
self.ObjectStore.Save('orders', json.dumps(self.store['orders']))