Overall Statistics |
Total Trades 158 Average Win 3.38% Average Loss -2.69% Compounding Annual Return 4.920% Drawdown 7.400% Expectancy 0.183 Net Profit 39.652% Sharpe Ratio 0.651 Loss Rate 48% Win Rate 52% Profit-Loss Ratio 1.26 Alpha 0.196 Beta -9.694 Annual Standard Deviation 0.062 Annual Variance 0.004 Information Ratio 0.393 Tracking Error 0.062 Treynor Ratio -0.004 Total Fees $0.00 |
# https://quantpedia.com/Screener/Details/100 from QuantConnect.Data import SubscriptionDataSource from QuantConnect.Python import PythonData from datetime import date, timedelta, datetime import decimal import numpy as np from sklearn import datasets, linear_model from QuantConnect.Python import PythonQuandl class TradeSpreadAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2012, 1, 1) self.SetEndDate(2018, 12, 10) self.SetCash(2000) slow_period = 250 self.SetWarmup(slow_period) self.first = True self.Forex = self.AddForex("NZDUSD", Resolution.Daily, Market.Oanda) self.Forex = self.AddForex("NZDSGD", Resolution.Daily, Market.Oanda) self.nzdema = self.EMA("NZDSGD", 15) self.usdema = self.EMA("NZDUSD", 15) self.usdsgdEMA = IndicatorExtensions.Minus(self.nzdema, self.usdema) # Creating the EMA on 2 MOVING AVERAGES #self.usdsgdsma = IndicatorExtensions.SMA(self.usdsgdEMA, 21) #creating a 20 period sma out of my ema #self.PlotIndicator("Special Ind", self.usdsgdEMA, self.usdsgdsma) overlayPlot = Chart("Overlay Plot") overlayPlot.AddSeries(Series("usdsgdEMA Plot", SeriesType.Line, 0)) overlayPlot.AddSeries(Series("Buy", SeriesType.Scatter, 0)) overlayPlot.AddSeries(Series("Sell", SeriesType.Scatter, 0)) overlayPlot.AddSeries(Series("NZDSGD", SeriesType.Line, 1)) overlayPlot.AddSeries(Series("NZDUSD", SeriesType.Line, 1)) overlayPlot.AddSeries(Series("liquidated_buy", SeriesType.Scatter, 0)) overlayPlot.AddSeries(Series("liquidated_sell", SeriesType.Scatter, 0)) self.AddChart(overlayPlot) def OnData(self, data): forex = ["NZDUSD", "NZDSGD"] for symbol in forex: if not self.usdsgdEMA.IsReady: return # get the indicator value if self.first and not self.IsWarmingUp: self.first = False buy_signal_triggered, sell_signal_triggered = False, False liquidate_buy, liquidate_sell = False, False price = self.Securities["NZDSGD"].Price - self.Securities["NZDUSD"].Price tolerance = decimal.Decimal(0.0020); sgdSpread = False usdSpread = False if self.Securities["NZDUSD"].AskPrice - self.Securities["NZDUSD"].BidPrice <= 0.0003: usdSpread = True if self.Securities["NZDSGD"].AskPrice - self.Securities["NZDSGD"].BidPrice <= 0.00038: sgdSpread = True #spread = self.Securities["NZDUSD"].AskPrice - self.Securities["NZDUSD"].BidPrice if sgdSpread and usdSpread: if price > self.usdsgdEMA.Current.Value * (1 + tolerance) and not (self.Portfolio["NZDSGD"].IsShort and self.Portfolio["NZDUSD"].IsLong): self.SetHoldings("NZDSGD", -5) self.SetHoldings("NZDUSD", 5) buy_signal_triggered = True elif price < self.usdsgdEMA.Current.Value * (1 - tolerance) and not (self.Portfolio["NZDSGD"].IsLong and self.Portfolio["NZDUSD"].IsShort):# self.SetHoldings("NZDSGD", 5) self.SetHoldings("NZDUSD", -5) sell_signal_triggered = True if self.Portfolio["NZDSGD"].IsShort and self.Portfolio["NZDUSD"].IsLong and price < self.usdsgdEMA.Current.Value: self.Liquidate() liquidate_buy = True if self.Portfolio["NZDSGD"].IsLong and self.Portfolio["NZDUSD"].IsShort and price > self.usdsgdEMA.Current.Value: self.Liquidate() liquidate_sell = True if buy_signal_triggered: self.Plot("Overlay Plot", "Buy", price) elif sell_signal_triggered: self.Plot("Overlay Plot", "Sell", price) if liquidate_buy: self.Plot("Overlay Plot", "liquidated_buy", price) elif liquidate_sell: self.Plot("Overlay Plot", "liquidated_sell", price) self.Plot("Overlay Plot", "NZDSGD", self.Securities["NZDSGD"].Price) self.Plot("Overlay Plot", "NZDUSD", self.Securities["NZDUSD"].Price) self.Plot("Overlay Plot", "usdsgdEMA Plot", self.usdsgdEMA.Current.Value)