Overall Statistics |
Total Trades 92 Average Win 8.42% Average Loss -5.50% Compounding Annual Return 47.981% Drawdown 22.400% Expectancy -0.367 Net Profit 3.816% Sharpe Ratio 1.08 Probabilistic Sharpe Ratio 46.590% Loss Rate 75% Win Rate 25% Profit-Loss Ratio 1.53 Alpha 2.326 Beta -5.161 Annual Standard Deviation 0.885 Annual Variance 0.784 Information Ratio 0.734 Tracking Error 0.941 Treynor Ratio -0.185 Total Fees $0.00 Estimated Strategy Capacity $3500000.00 Lowest Capacity Asset EURNZD 8G |
class HyperActiveApricotFalcon(QCAlgorithm): def Initialize(self): #General Information self.SetStartDate(2021, 6, 27) self.SetEndDate(2021, 7, 31) self.SetCash(100000) self.pair = 'EURNZD' self.forex = self.AddForex(self.pair, Resolution.Minute, Market.Oanda).Symbol self.quantity = 100000 # Set Take Profit and Stop Loss Here self.tp = 0.002 self.sl = 0.0015 # Long / Short - True = Live self.Long = True self.Short = False # Set number of open positions allowed at a time self.numtrades = 10 ''' Takeprofit and stoploss not working ''' self.takeprofit = [] self.stoploss = [] self.numshares = [] self.takeprofitpos = {} self.stoplosspos = {} # Indicators self.rsi = RelativeStrengthIndex(14, MovingAverageType.Wilders) self.macdfiveminute = MovingAverageConvergenceDivergence(12, 26, 9, MovingAverageType.Exponential) self.macdonehour = MovingAverageConvergenceDivergence(12, 26, 9, MovingAverageType.Exponential) self.atr = AverageTrueRange(14, MovingAverageType.Wilders) self.emafast = ExponentialMovingAverage(9) self.emaslow = ExponentialMovingAverage(50) # One Hour Consolidator and Indicator Registrations oneHourConsolidator = QuoteBarConsolidator(timedelta(minutes=60)) oneHourConsolidator.DataConsolidated += self.OneHourBarHandler self.SubscriptionManager.AddConsolidator(self.pair, oneHourConsolidator) self.RegisterIndicator(self.pair, self.macdonehour, oneHourConsolidator) # Five Minute Consolidator and Indicator Registrations fiveMinuteConsolidator = QuoteBarConsolidator(timedelta(minutes=5)) fiveMinuteConsolidator.DataConsolidated += self.FiveMinuteBarHandler self.SubscriptionManager.AddConsolidator(self.pair, fiveMinuteConsolidator) self.RegisterIndicator(self.pair, self.rsi, fiveMinuteConsolidator) self.RegisterIndicator(self.pair, self.macdonehour, oneHourConsolidator) self.RegisterIndicator(self.pair, self.atr, fiveMinuteConsolidator) self.RegisterIndicator(self.pair, self.macdfiveminute, fiveMinuteConsolidator)#.Updated += self.FiveMinuteBarHandler self.RegisterIndicator(self.pair, self.emafast, fiveMinuteConsolidator) self.RegisterIndicator(self.pair, self.emaslow, fiveMinuteConsolidator) self.macdLastHourWindow = RollingWindow[float](2) self.Schedule.On(self.DateRules.Every(DayOfWeek.Friday), self.TimeRules.BeforeMarketClose(self.pair), self.WeekendLiquidation) self.fiveminbaropen = 0 self.SetWarmUp(50) self.lastfiveminutemacdvalues = [] self.lastonehourmacdvalues = [] self.removekeys = [] self.counter = 0 self.tpsl = {} self.macdLastFiveBar = None def OneHourBarHandler(self, sender, consolidated): self.macdLastHourWindow.Add(self.macdonehour.Current.Value) def FiveMinuteBarHandler(self, sender, consolidated): if not self.macdonehour.IsReady: return if self.macdLastFiveBar == None or self.macdLastHourWindow.Count <= 1: self.macdLastFiveBar = self.macdfiveminute.Current.Value return Close = (consolidated.Bid.Close+consolidated.Ask.Close)/2 Open = (consolidated.Bid.Open+consolidated.Ask.Open)/2 Low = (consolidated.Bid.Low+consolidated.Ask.Low)/2 High = (consolidated.Bid.High+consolidated.Ask.High)/2 Price = consolidated.Price # Limit number of open trades if len(self.tpsl) >= self.numtrades: return emaFast = self.emafast.Current.Value emaSlow = self.emaslow.Current.Value rsiValue = self.rsi.Current.Value macdFive = self.macdfiveminute.Current.Value # Entry Long if self.Long and Close > emaFast and Open > emaFast and Close < Open and emaSlow < emaFast and rsiValue < 63 and rsiValue > 58: self.GoLong(Close) # Entry Short elif self.Short and Close < emaFast and Open < emaFast and Close > Open and emaSlow > emaFast and rsiValue > 38 and rsiValue < 45: self.GoShort(Close) # Record MACD values to compare at next datapoint self.macdLastFiveBar = self.macdfiveminute.Current.Value # Order Tickets self.entryTicket = None self.SLTicket = None self.TPTicket = None def GoLong(self, Close): FiveMACDdifference = self.macdfiveminute.Current.Value - self.macdfiveminute.Signal.Current.Value HourMACDdifference = self.macdonehour.Current.Value - self.macdonehour.Signal.Current.Value if self.entryTicket == None: if self.macdfiveminute.Current.Value > .00005: # MACD Current > MACD 1 Bar Ago ( 5 minute and 1 hour ) if self.macdfiveminute.Current.Value > self.macdLastFiveBar and self.macdonehour.Current.Value > self.macdLastHourWindow[self.macdLastHourWindow.Count-1]: # ATR > .00025 if self.atr.Current.Value > .00025: # MACD Difference > 0 ( 5 minute and 1 hour ) if self.macdfiveminute.Current.Value - self.macdfiveminute.Signal.Current.Value > 0 and self.macdonehour.Current.Value - self.macdonehour.Signal.Current.Value > -.0001: self.BuyPrice = Close self.SLPrice = self.BuyPrice - .0015 self.TPPrice = self.BuyPrice + .002 self.entryTicket = self.LimitOrder(self.pair, self.quantity, self.BuyPrice) self.Debug(f"MACD Value : {self.macdfiveminute.Current.Value}") self.Debug(f"5 Minute MACD Difference : {FiveMACDdifference}") self.Debug(f"1 Hour MACD Difference : {HourMACDdifference}") self.Debug(f"1 Hour MACD Value : {self.macdonehour.Current.Value}") self.Debug(f"1 Hour MACD Signal : {self.macdonehour.Signal.Current.Value}") def GoShort(self, Close): if self.macdfiveminute.Current.Value < -.00005: # MACD Current > MACD 1 Bar Ago ( 5 minute and 1 hour ) if self.macdfiveminute.Current.Value < self.macdLastFiveBar and self.macdonehour.Current.Value < self.macdLastHourWindow[self.macdLastHourWindow.Count-1]: # ATR > .00025 if self.atr.Current.Value > .00025: # MACD Difference < 0 ( 5 minute and 1 hour ) if self.macdfiveminute.Current.Value - self.macdfiveminute.Signal.Current.Value < 0 and self.macdonehour.Current.Value - self.macdonehour.Signal.Current.Value < 0: self.counter += 1 self.MarketOrder(self.pair, -self.quantity, False, str(self.macdfiveminute.Current.Value) + " " + str(self.macdLastFiveBar)) tp = Close-self.tp sl = Close+self.sl self.tpsl[self.counter] = [tp, sl, False] def WeekendLiquidation(self): self.Liquidate() self.tpsl = {} def OnOrderEvent(self, orderEvent): if orderEvent.Status == OrderStatus.Filled: return if self.entryTicket != None and self.entryTicket.OrderId == orderevent.OrderId: # Enter stop loss order self.SLTicket = self.StopMarketOrder( self.pair, self.quantity, self.SLPrice) # Enter limit order self.TPTicket = self.LimitOrder( self.pair, self.quantity, self.TPPrice) # Cancel Stop Loss Ticket if Take Profit Price is reached elif self.TPTicket != None and self.TPTicket.OrderId == orderevent.OrderId: self.SLTicket.cancel() # Cancel Take Profit Ticket if Stop Loss Price is reached elif self.SLTicket != None and self.SLTicket.OrderId == orderevent.OrderId: self.TPTicket.cancel() self.entryTicket = None