| Overall Statistics |
|
Total Trades 28 Average Win 0.67% Average Loss -0.63% Compounding Annual Return 42.264% Drawdown 1.600% Expectancy 0.331 Net Profit 2.910% Sharpe Ratio 5.588 Probabilistic Sharpe Ratio 98.996% Loss Rate 36% Win Rate 64% Profit-Loss Ratio 1.07 Alpha 0.351 Beta -0.063 Annual Standard Deviation 0.06 Annual Variance 0.004 Information Ratio 1.005 Tracking Error 0.125 Treynor Ratio -5.384 Total Fees $0.00 Estimated Strategy Capacity $3000000.00 Lowest Capacity Asset AUDUSD 8G |
class HyperActiveApricotFalcon(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 7, 1)
self.SetEndDate(2021, 7, 31)
self.SetCash(10000)
self.pair = 'AUDUSD'
self.AddForex(self.pair, Resolution.Minute, Market.Oanda)
# Set Take Profit and Stop Loss Here
self.tp = 0.0008
self.sl = 0.0005
# Long / Short - Set one to True
self.Long = True
self.Short = False
# Set number of open positions allowed at a tome
self.numtrades = 10
self.takeprofit = []
self.stoploss = []
self.numshares = []
self.takeprofitpos = {}
self.stoplosspos = {}
self.quantity = 100000
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)
oneHourConsolidator = QuoteBarConsolidator(timedelta(hours=1))
fiveMinuteConsolidator = QuoteBarConsolidator(timedelta(minutes=5))
oneHourConsolidator.DataConsolidated += self.OneHourBarHandler
fiveMinuteConsolidator.DataConsolidated += self.FiveMinuteBarHandler
self.SubscriptionManager.AddConsolidator(self.pair, oneHourConsolidator)
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)
self.RegisterIndicator(self.pair, self.emafast, fiveMinuteConsolidator)
self.RegisterIndicator(self.pair, self.emaslow, fiveMinuteConsolidator)
self.Schedule.On(self.DateRules.WeekEnd(self.pair), self.TimeRules.BeforeMarketClose(self.pair), self.WeekendLiquidation)
self.fiveminbaropen = 0
self.SetWarmUp(50)
self.lastfiveminutemacdvalues = RollingWindow[float](2)
self.lastonehourmacdvalues = RollingWindow[float](2)
self.removekeys = []
self.counter = 0
self.tpsl = {}
def OneHourBarHandler(self, sender, consolidated):
pass
def FiveMinuteBarHandler(self, sender, consolidated):
if not self.macdonehour.IsReady:
return
self.lastfiveminutemacdvalues.Add(self.macdfiveminute.Histogram.Current.Value)
self.lastonehourmacdvalues.Add(self.macdonehour.Histogram.Current.Value)
if not self.lastfiveminutemacdvalues.IsReady: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
# Exit Trades
if self.Long:
if len(self.tpsl) > 0:
# Check Take Profit
for key, value in self.tpsl.items():
if High >= value[0]:
self.MarketOrder(self.pair, -self.quantity)
self.removekeys.append(key)
# Check Stop Loss
for key, value in self.tpsl.items():
if Low <= value[1]:
self.MarketOrder(self.pair, -self.quantity)
self.removekeys.append(key)
if self.Short:
if len(self.tpsl) > 0:
# Check Take Profit
for key, value in self.tpsl.items():
if Low <= value[0]:
self.MarketOrder(self.pair, self.quantity)
self.removekeys.append(key)
# Check Stop Loss
for key, value in self.tpsl.items():
if High >= value[1]:
self.MarketOrder(self.pair, self.quantity)
self.removekeys.append(key)
if len(self.removekeys) > 0:
for x in self.removekeys:
self.tpsl.pop(x)
self.removekeys.clear()
# Limit number of open trades
if len(self.tpsl) >= self.numtrades:
return
# Entry Long
if self.Long:
# Close > 9 EMA ( 5 minute )
if Close > self.emafast.Current.Value:
# Open > 9 EMA ( 5 minute)
if Open > self.emafast.Current.Value:
# Close < Open ( 5 minute )
if Close < Open:
# 9EMA > 50EMA ( 5 minute )
if self.emaslow.Current.Value < self.emafast.Current.Value:
# RSI < 65 ( 5 minute )
if self.rsi.Current.Value < 63 and self.rsi.Current.Value > 58:
# MACD > .0001 ( 5 minute )
if self.macdfiveminute.Current.Value > .00005:
# MACD Current > MACD 1 Bar Ago ( 5 minute and 1 hour )
if self.macdfiveminute.Current.Value > self.lastfiveminutemacdvalues[1] and self.macdonehour.Current.Value > self.lastonehourmacdvalues[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)
tp = Close+self.tp
sl = Close-self.sl
self.tpsl[self.counter] = [tp, sl]
self.Debug("Went long "+str(self.Time))
# Entry Short
if self.Short:
# Close < 9 EMA ( 5 minute )
if Close < self.emafast.Current.Value:
# Open < 9 EMA ( 5 minute)
if Open < self.emafast.Current.Value:
# Close > Open ( 5 minute )
if Close > Open:
# 9EMA < 50EMA ( 5 minute )
if self.emaslow.Current.Value > self.emafast.Current.Value:
# RSI > 35 ( 5 minute )
if self.rsi.Current.Value > 38 and self.rsi.Current.Value < 45:
# MACD < -.0001 ( 5 minute )
if self.macdfiveminute.Current.Value < -.00005:
# MACD Current > MACD 1 Bar Ago ( 5 minute and 1 hour )
if self.macdfiveminute.Current.Value < self.lastfiveminutemacdvalues[1] and self.macdonehour.Current.Value < self.lastonehourmacdvalues[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)
tp = Close-self.tp
sl = Close+self.sl
self.tpsl[self.counter] = [tp, sl]
def WeekendLiquidation(self):
self.Liquidate()
self.tpsl = {}
def OnData(self, data):
pass