| Overall Statistics |
|
Total Trades 81 Average Win 0.10% Average Loss -0.20% Compounding Annual Return -0.470% Drawdown 5.600% Expectancy -0.655 Net Profit -5.497% Sharpe Ratio -0.982 Probabilistic Sharpe Ratio 0.000% Loss Rate 78% Win Rate 22% Profit-Loss Ratio 0.53 Alpha -0.001 Beta -0.02 Annual Standard Deviation 0.003 Annual Variance 0 Information Ratio -0.805 Tracking Error 0.144 Treynor Ratio 0.159 Total Fees $81.00 Estimated Strategy Capacity $16000000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
from AlgorithmImports import *
# endregion
class UpgradedYellowScorpion(QCAlgorithm):
stopMarketTicket = None
stopMarketOrderFillTime = datetime.min
highestSPYPrice = -1
def Initialize(self):
self.SetStartDate(2010, 1, 1)
self.SetEndDate(2022, 1, 1)
self.SetCash(10000)
spy = self.AddEquity("SPY" , Resolution.Daily)
spy.SetDataNormalizationMode(DataNormalizationMode.Raw)
self.Pair = "SPY"
self.symbols = [self.Pair]
self.prevPrices = { symbol : RollingWindow[TradeBar](7) for symbol in self.symbols }
self.Long = None
self.Short = None
def OnData(self, data):
self.Plot("Indicator", "Price", self.Securities["SPY"].Price)
self.Plot("Indicator", "high", self.highestSPYPrice)
self.Plot("Indicator", "updated", self.highestSPYPrice * 1.05)
for symbol in self.symbols:
if data.ContainsKey(symbol):
self.prevPrices[symbol].Add( data[symbol] )
if not all([ window.IsReady for window in self.prevPrices.values() ]):
return
Pair1_window = self.prevPrices[self.Pair]
Pair1_1D = Pair1_window[1].Close
Pair1_0D = Pair1_window[0].Close
self.Plot("Indicator", "1d", Pair1_1D)
self.Plot("Indicator", "0d", Pair1_0D)
if Pair1_0D > Pair1_1D:
self.highestSPYPrice = Pair1_0D
# short position
if not self.Portfolio.Invested and Pair1_0D > Pair1_1D:
self.Short = self.MarketOrder("SPY", -1)
self.stopMarketTicket = self.StopMarketOrder("SPY", 1, 1.05 * self.Securities["SPY"].Close)
if self.Short is not None and self.Securities["SPY"].Close < self.highestSPYPrice:
self.highestSPYPrice = self.Securities["SPY"].Close
updateFields = UpdateOrderFields()
updateFields.StopPrice = self.highestSPYPrice * 1.05
self.stopMarketTicket.Update(updateFields)
def OnOrderEvent(self, orderEvent):
if orderEvent.Status != OrderStatus.Filled:
return
if self.stopMarketTicket is not None and self.stopMarketTicket.OrderId == orderEvent.OrderId:
self.stopMarketOrderFillTime = self.Time