| Overall Statistics |
|
Total Trades 126 Average Win 0.39% Average Loss -0.63% Compounding Annual Return 0.529% Drawdown 4.000% Expectancy 0.057 Net Profit 2.135% Sharpe Ratio 0.166 Probabilistic Sharpe Ratio 2.733% Loss Rate 35% Win Rate 65% Profit-Loss Ratio 0.62 Alpha -0.003 Beta 0.061 Annual Standard Deviation 0.024 Annual Variance 0.001 Information Ratio -1.112 Tracking Error 0.1 Treynor Ratio 0.064 Total Fees $126.00 Estimated Strategy Capacity $480000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
class CalibratedDynamicComputer(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2016, 1, 30)
self.SetEndDate(2020, 1, 30)
self.SetCash(10000)
#self.SetBrokerageModel(BrokerageName.OandaBrokerage)
symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self.engulfing = self.CandlestickPatterns.Engulfing(symbol, Resolution.Daily)
self.engulfing_window = RollingWindow[float](10)
self.SetBenchmark("SPY")
def OnData(self, data):
if not self.engulfing.IsReady:
return
engulfing = self.engulfing.Current.Value # 0 if not ready or not engulfing, 1 if bullish engulf, -1 if bearish engulf
#self.Plot("IndicatorValue", "Engulfing", engulfing)
self.engulfing_window.Add(engulfing)
if self.engulfing_window.IsReady: # changed your code for ready instead of not ready
#self.Plot("TrailingIndicatorValue", "TrailingHammer", self.engulfing_window[self.engulfing_window.Count-1])
# I did not know what you wanted to do with your window...
self.Log(f"self.engulfing_window: {[x for x in self.engulfing_window]}")
if engulfing:
if not self.Portfolio["SPY"].Invested:
self.Log("Buy")
self.SetHoldings("SPY", 1)
else:
if self.Portfolio["SPY"].Invested:
self.Log("Sell")
self.Liquidate("SPY")