Overall Statistics |
Total Trades 1706 Average Win 0.55% Average Loss -0.47% Compounding Annual Return -2.370% Drawdown 42.700% Expectancy 0.004 Net Profit -3.885% Sharpe Ratio 0.042 Loss Rate 54% Win Rate 46% Profit-Loss Ratio 1.17 Alpha 0.017 Beta -0.052 Annual Standard Deviation 0.27 Annual Variance 0.073 Information Ratio -0.312 Tracking Error 0.309 Treynor Ratio -0.223 Total Fees $8758.41 |
import csv from StringIO import StringIO from datetime import datetime from decimal import * from sets import Set class BasicTemplateAlgorithm(QCAlgorithm): def Initialize(self): raw_trade_data = """ 20150728 09:38,UPS,bull 20150728 09:38,DD,bull 20150728 11:29,LNKD,bear 20150728 13:52,MCD,bull 20150728 14:34,AMZN,bull 20150729 10:14,KRFT,bear 20150729 10:14,KHC,bear 20150729 12:33,YHOO,bull 20150730 08:22,SKX,bear 20150730 09:17,AMZN,bull 20150730 10:42,AMZN,bull 20150730 13:04,NFLX,bull 20150730 14:26,SKX,bear 20150730 15:16,NFLX,bear 20150731 08:44,UPS,bull 20150731 10:21,XOM,bull 20150731 10:21,CVX,bull 20150731 11:40,SAN,bear 20150731 11:41,WFM,bear 20150804 08:12,AAPL,bull 20150804 09:53,AAPL,bear 20150804 11:08,AAPL,bull 20150804 13:19,AAPL,bear 20150804 15:20,AAPL,bear 20150804 15:48,SAVE,bull 20150805 08:15,AAPL,bull 20150805 08:15,GOOG,bull 20150805 08:15,GOOGL,bull 20150805 08:33,ADP,bull 20150805 09:35,DIS,bear 20150805 09:37,ADP,bull 20150805 10:26,ETSY,bear 20150805 12:35,Fit,bull 20150805 12:50,Fit,bull 20150805 13:21,DIS,bear 20150805 15:45,TSLA,bull 20150806 10:39,TSLA,bear 20150806 10:58,KORS,bull 20150806 13:34,VIA,bear 20150806 14:52,VIA,bear 20150806 14:52,NFLX,bear 20150806 15:22,GMCR,bear 20150807 12:15,CVX,bear 20150807 12:38,AAPL,bull 20150807 13:47,AMZN,bull 20150807 14:47,AAPL,bull 20150810 08:20,BRKA,bull 20150810 08:20,BRKB,bull 20150810 08:20,PCP,bull 20150810 11:01,AAPL,bear 20150810 13:28,BRKA,bull 20150810 13:28,BRKB,bull 20150810 13:28,PCP,bull 20150810 13:46,BABA,bull 20150811 08:06,GOOG,bull 20150811 08:06,GOOGL,bull 20150811 09:35,CAT,bear 20150811 10:34,GOOG,bull 20150811 10:34,GOOGL,bull 20150811 12:23,AAPL,bull 20150811 14:16,GOOG,bull 20150811 14:16,GOOGL,bull 20150812 08:27,BABA,bear 20150812 08:27,YHOO,bear 20150812 08:33,CF,bull 20150812 10:01,BABA,bull 20150812 12:56,BABA,bull 20150812 13:06,AAPL,bull 20150812 13:45,GOOG,bear 20150812 13:45,GOOGL,bear 20150813 09:03,TSLA,bull 20150813 10:30,MCD,bear 20150813 10:30,GS,bear 20150813 15:03,TSLA,bull 20150813 15:59,AAPL,bull 20150814 08:50,LOCO,bull 20150814 09:41,JWN,bull 20150814 09:41,JCP,bull 20150814 09:41,LOCO,bull 20150814 12:31,GOOG,bear 20150814 12:31,GOOGL,bear 20150814 14:29,AAPL,bull 20150817 08:21,AMZN,bear 20150817 09:03,AMZN,bear 20150817 09:34,TSLA,bear 20150817 10:44,DIS,bull 20150817 13:04,AMZN,bull 20150817 13:16,GS,bull 20150817 14:25,SBUX,bull 20150818 09:36,WMT,bear 20150818 09:36,TJX,bear 20150818 09:36,WMT,bear 20150818 10:01,GOOG,bear 20150818 10:01,GOOGL,bear 20150818 12:12,ANF,bull 20150818 12:25,GOOG,bull 20150818 12:25,GOOGL,bull 20150818 13:42,ETSY,bear 20150819 09:15,GOOG,bull 20150819 09:15,GOOGL,bull 20150819 09:34,TGT,bull 20150819 10:25,HD,bull 20150819 11:29,SBUX,bull 20150819 13:46,SBUX,bull 20150820 09:35,NTAP,bear 20150820 09:35,MU,bear 20150820 11:17,VRX,bull 20150820 11:40,DIS,bear 20150820 11:40,TWX,bear 20150820 11:52,NFLX,bull 20150820 14:30,DIS,bear 20150820 15:19,LLY,bull 20150821 08:47,Fit,bear 20150821 09:36,INTU,bull 20150821 10:04,QQQ,bear 20150821 10:09,AAPL,bull 20150821 14:15,AAPL,bull 20150821 15:14,AAPL,bull 20150824 08:17,GPRO,bull 20150824 08:21,CMG,bull 20150824 09:39,BABA,bear 20150824 10:30,AAPL,bull 20150824 10:40,AAPL,bear 20150824 11:52,AAPL,bull 20150824 12:24,BCS,bull 20150824 13:00,CMG,bull 20150824 13:22,AAPL,bear 20150824 14:48,INTC,bull 20150824 14:48,AAPL,bull 20150824 14:57,AAPL,bear 20150824 15:06,WFM,bull 20150824 15:06,QQQ,bull 20150824 15:29,BCS,bull 20150825 08:59,GS,bear 20150825 09:04,AAPL,bear 20150825 11:12,AAPL,bear 20150826 10:00,AAPL,bear 20150826 11:24,MON,bear 20150826 11:24,SYT,bear 20150826 15:57,NFLX,bull 20150827 09:06,FCX,bull 20150827 10:52,TSLA,bear 20150827 11:09,CVX,bull 20150827 11:09,GE,bull 20150827 11:09,DIS,bull 20150827 11:43,WMT,bull 20150827 13:54,TSLA,bull 20150828 09:00,AMZN,bear 20150828 12:12,WMT,bear 20150831 11:23,E,bull 20150831 11:42,DISH,bull 20150831 12:34,AAPL,bull 20150831 12:34,AMZN,bull 20150831 12:34,GOOG,bull 20150831 12:34,GOOGL,bull 20150831 14:06,AAPL,bull 20150831 14:06,CSCO,bull 20150831 14:50,DIS,bull 20150831 15:25,AAPL,bear 20150901 12:34,AAPL,bull 20150901 13:46,YHOO,bear 20150901 15:01,NFLX,bull 20150902 08:20,ADP,bull 20150902 09:09,ADP,bull 20150902 12:57,NFLX,bull 20150902 12:57,AAPL,bull 20150902 12:57,AMZN,bull 20150902 13:14,AAPL,bull 20150902 13:14,MSFT,bull 20150902 13:14,INTC,bull 20150902 14:07,AAPL,bull 20150902 14:07,INTC,bull 20150902 14:07,MSFT,bull 20150902 15:55,GPRO,bear 20150903 11:12,NFLX,bear 20150903 12:25,AAPL,bull 20150903 12:25,GOOG,bull 20150903 12:25,GOOGL,bull 20150903 15:44,YHOO,bear 20150904 08:15,BBRY,bull 20150904 14:49,TSLA,bear 20150904 15:09,AAPL,bear 20150908 08:13,BMY,bull 20150908 08:35,BX,bull 20150908 10:03,GE,bull 20150908 11:44,IBM,bull 20150908 13:14,GE,bull 20150908 13:32,AAPL,bull 20150908 13:50,AAPL,bull 20150908 15:46,AAPL,bear 20150909 08:18,MCD,bull 20150909 09:34,BKS,bull 20150909 10:56,AAPL,bull 20150909 11:28,AAPL,bull 20150909 12:54,AAPL,bull 20150909 13:30,AAPL,bull 20150909 13:37,AAPL,bear 20150909 14:45,AMZN,bear 20150909 14:45,AAPL,bear 20150909 15:00,AAPL,bear 20150909 15:29,AAPL,bull 20150910 10:22,AAPL,bear 20150910 10:22,BABA,bear 20150910 11:49,AAPL,bull 20150910 12:13,AAPL,bear 20150910 13:18,CVX,bull 20150910 15:40,VIA,bull 20150910 15:56,AAPL,bear 20150911 09:15,MRVL,bull 20150911 09:48,MS,bull 20150911 12:17,GS,bull 20150914 09:12,AAPL,bull 20150914 10:00,YHOO,bear 20150914 11:26,TSLA,bear 20150914 11:41,AAPL,bull 20150914 15:28,CRM,bull 20150915 10:40,CRM,bear 20150915 10:55,DIS,bear 20150915 12:33,CRM,bear 20150915 12:55,AAPL,bull 20150916 10:15,AAPL,bull 20150916 11:50,AAPL,bear 20150916 15:48,ORCL,bull 20150917 08:11,AAPL,bull 20150917 08:27,CVC,bull 20150917 15:19,WMT,bear 20150918 08:03,FCX,bull 20150918 09:29,JPM,bear 20150918 14:08,AAPL,bear 20150918 14:08,T,bear 20150918 14:47,KO,bear 20150921 08:09,ATML,bear 20150921 08:21,GS,bull 20150921 08:48,AAPL,bear 20150921 09:43,GS,bull 20150921 10:47,AAPL,bear 20150921 11:54,GS,bull 20150921 12:11,AAPL,bear 20150921 14:16,AAPL,bull 20150921 14:37,AAPL,bull 20150922 10:56,AMZN,bull 20150922 11:39,QCOM,bull 20150922 11:56,GS,bull 20150922 15:46,AAPL,bull 20150923 10:21,AAPL,bear 20150923 15:02,AAPL,bull 20150923 15:02,TSLA,bull 20150924 08:15,KO,bull 20150924 09:34,CAT,bull 20150924 10:37,IBM,bull 20150924 11:02,CAT,bull 20150924 13:36,GE,bull 20150924 14:13,AAPL,bear 20150924 14:13,GOOG,bear 20150924 14:13,GOOGL,bear 20150924 14:13,GM,bear 20150925 12:38,AAPL,bull 20150925 14:20,AMZN,bull 20150928 10:58,AA,bear 20150928 11:50,AAPL,bear 20150928 12:23,RDS.A,bear 20150928 12:23,RDS.B,bear 20150928 14:06,WFM,bear 20150929 12:06,AAPL,bear 20150929 13:29,GOOG,bull 20150929 13:29,GOOGL,bull 20150929 15:30,COST,bear 20150930 08:18,ADP,bull 20150930 12:20,AAPL,bear 20151001 10:27,CROX,bear 20151001 13:24,AAPL,bull 20151002 11:00,GOOG,bear 20151002 11:00,GOOGL,bear 20151002 11:17,CS,bull 20151005 11:25,BP,bear 20151005 13:13,DPZ,bear 20151005 14:52,DIS,bull 20151006 09:48,TM,bull 20151006 11:04,C,bull 20151006 13:11,TSLA,bear 20151006 14:24,TSLA,bear 20151006 14:24,MS,bear 20151006 14:40,AAPL,bull 20151006 14:40,NKE,bull 20151006 15:16,MCD,bull 20151006 15:49,TSLA,bull 20151007 09:20,TSLA,bear 20151007 09:53,AA,bull 20151007 10:23,AAPL,bear 20151007 12:43,TM,bear 20151007 13:33,MCD,bull 20151007 14:44,AMZN,bear 20151007 14:44,GOOG,bear 20151007 14:44,GOOGL,bear 20151007 14:44,AAPL,bear 20151008 11:27,AAPL,bear 20151008 11:27,MSFT,bear 20151012 08:06,EMC,bull 20151012 09:41,AAPL,bear 20151012 11:56,EMC,bull 20151013 10:01,GE,bull 20151013 10:01,WFC,bull 20151014 10:14,BUD,bear 20151014 11:05,MAT,bull 20151014 11:06,WMT,bear 20151014 13:17,TM,bear 20151014 13:36,AAPL,bear 20151014 13:53,AAPL,bull 20151015 08:23,WMT,bull 20151015 10:32,WMT,bear 20151015 12:30,BCS,bull 20151015 13:21,NFLX,bear 20151015 15:24,TSLA,bull 20151016 12:26,MSFT,bear 20151019 10:32,MS,bear 20151019 11:32,WTW,bull 20151019 11:35,AMZN,bear 20151019 12:41,WTW,bear 20151019 15:09,WTW,bull 20151020 11:17,DB,bear 20151020 11:51,BP,bull 20151020 13:05,AAPL,bull 20151020 14:20,NFLX,bull 20151020 14:31,TSLA,bear 20151020 14:50,AAPL,bull 20151020 15:08,AAPL,bull 20151021 08:14,WDC,bull 20151021 08:14,SNDK,bull 20151021 09:34,GM,bull 20151021 10:10,TSLA,bear 20151021 10:27,TM,bull 20151021 10:29,VRX,bear 20151021 12:10,WDC,bull 20151021 12:10,SNDK,bull 20151021 13:04,TM,bull 20151021 14:09,NKE,bull 20151022 11:43,GOOG,bull 20151022 11:43,GOOGL,bull 20151022 12:23,GOOG,bull 20151022 12:23,GOOGL,bull 20151023 08:20,K,bull 20151023 08:37,TSLA,bull 20151023 09:13,AMZN,bear 20151023 10:50,MSFT,bull 20151023 11:06,AAPL,bull 20151023 11:26,AAPL,bull 20151023 14:16,MSFT,bull 20151026 10:39,COST,bear 20151026 10:49,VRX,bear 20151026 11:07,AMZN,bull 20151026 11:26,AMZN,bull 20151026 12:04,AAPL,bull 20151026 13:49,TSLA,bear 20151027 08:11,GS,bull 20151027 08:52,AAPL,bear 20151027 08:52,MSFT,bear 20151027 09:50,MSFT,bear 20151027 09:50,AAPL,bear 20151027 11:22,MSFT,bull 20151027 11:22,AAPL,bull 20151027 13:17,WAG,bear 20151027 14:58,AAPL,bear 20151027 14:58,MSFT,bear 20151027 15:49,AAPL,bull 20151028 10:19,AAPL,bull 20151028 11:36,UBS,bear 20151028 11:36,AAPL,bear 20151028 12:15,SBUX,bull 20151028 15:00,PYPL,bear 20151028 15:16,AAPL,bull 20151029 09:02,LNKD,bear 20151030 13:15,BHI,bull 20151102 11:56,S,bull 20151102 12:18,CMG,bear 20151102 13:26,LNKD,bear 20151103 10:25,AMZN,bull 20151103 11:54,AMZN,bull 20151103 13:23,AAPL,bull 20151103 15:14,TSLA,bull 20151104 08:20,ADP,bull 20151104 11:53,TSLA,bull 20151105 11:14,DB,bull 20151105 12:36,DB,bull 20151106 13:15,MCD,bear 20151109 08:48,VRX,bull 20151110 11:48,WFR,bull 20151110 11:48,SUNE,bull 20151110 12:06,QQQ,bull 20151110 15:01,TSLA,bull 20151110 15:01,MS,bull 20151111 10:01,AAPL,bear 20151111 10:17,ESRX,bull 20151111 11:09,AAPL,bear 20151113 11:18,GPRO,bear 20151113 13:47,AAPL,bear 20151113 14:46,PRGO,bull 20151116 12:19,AFRAF,bear 20151116 15:45,DEO,bear 20151117 14:07,PYPL,bull 20151117 14:07,VRX,bull 20151117 14:29,TSN,bear 20151118 09:13,DAL,bear 20151119 11:42,GS,bear 20151120 10:42,NKE,bear 20151120 11:19,TSLA,bull 20151120 13:13,ANF,bull 20151120 13:52,AAPL,bear 20151120 14:51,CMG,bear 20151120 15:08,ANF,bull 20151123 08:57,GME,bear 20151123 14:24,BABA,bull 20151124 12:41,TSLA,bull 20151124 13:37,DIS,bull 20151124 15:45,DIS,bear 20151126 09:58,DIS,bear 20151126 14:16,NSANY,bear 20151127 10:03,DIS,bear 20151127 10:27,COST,bear 20151127 10:43,DIS,bear 20151127 12:02,DIS,bull 20151127 12:55,DIS,bear 20151130 13:18,AMZN,bull 20151130 14:29,SBUX,bull 20151130 15:27,SBUX,bull 20151201 10:31,AMZN,bear 20151201 14:40,AMZN,bull 20151201 15:40,AMZN,bull 20151202 08:25,ADP,bull 20151202 08:45,MS,bear 20151202 09:34,AAPL,bear 20151202 10:22,AMZN,bull 20151202 10:22,NFLX,bull 20151202 10:22,GOOG,bull 20151202 10:22,GOOGL,bull 20151202 15:03,CS,bull 20151203 08:08,MCD,bull 20151203 08:59,JPM,bear 20151203 08:59,GS,bear 20151203 11:14,KO,bear 20151203 14:49,JPM,bear 20151203 14:49,GS,bear 20151204 09:04,JPM,bull 20151204 12:31,CMG,bear 20151204 12:58,GPRO,bear 20151207 09:36,CMG,bull 20151207 11:59,NFLX,bull 20151207 12:16,GE,bull 20151207 13:10,MCD,bull 20151207 15:23,IBM,bear 20151208 09:50,CMG,bear 20151208 10:39,AAPL,bull 20151208 10:57,AAPL,bear 20151208 11:22,KO,bear 20151208 12:12,NFLX,bull 20151208 14:00,CMG,bear 20151208 14:49,AAPL,bull 20151209 09:46,COST,bear 20151209 10:17,WMT,bull 20151209 11:13,COST,bear 20151209 11:51,YHOO,bear 20151209 13:16,YHOO,bear 20151209 13:16,BABA,bear 20151209 15:03,AAPL,bull 20151210 09:32,BCS,bear 20151210 10:02,AAPL,bear 20151210 12:00,WMT,bull 20151210 12:53,AAPL,bear 20151210 15:16,GPRO,bull 20151210 15:16,AAPL,bull 20151211 08:12,WMT,bear 20151211 09:27,AMZN,bull 20151211 09:27,NKE,bull 20151211 09:27,NMR,bull 20151211 09:27,TJX,bull 20151211 10:36,CMG,bull 20151211 10:52,CMG,bear 20151211 11:10,AAPL,bull 20151211 12:02,CMG,bear 20151214 10:32,GPRO,bear 20151214 10:32,MS,bear 20151214 14:48,GS,bear 20151215 09:12,DIS,bull 20151215 12:31,DIS,bear 20151215 14:43,DIS,bear 20151216 10:59,DIS,bear 20151217 13:53,CMG,bear 20151218 14:58,CMG,bear 20151221 10:26,AAPL,bull 20151221 10:26,TSLA,bull 20151221 12:37,AAPL,bear 20151221 14:07,AAPL,bull 20151221 14:45,AAPL,bull 20151221 15:08,AAPL,bear 20151222 09:21,NSANY,bull 20151222 09:39,GOOG,bull 20151222 09:39,GOOGL,bull 20151222 09:39,F,bull 20151222 10:06,CMG,bear 20151222 10:40,GOOG,bull 20151222 10:40,GOOGL,bull 20151222 10:40,F,bull 20151222 11:15,F,bull 20151222 11:15,GOOG,bull 20151222 11:15,GOOGL,bull 20151223 08:05,TWC,bear 20151223 11:42,SBUX,bear 20151223 12:31,SBUX,bear 20151223 13:07,CMG,bear 20151223 15:02,CMG,bear 20151225 11:58,TWC,bear 20151228 08:47,AMZN,bull 20151228 11:16,AMZN,bull 20151228 11:51,AMZN,bull 20151229 10:56,TSLA,bear 20151229 11:13,AAPL,bear 20151229 11:42,NFLX,bull 20151229 12:38,DD,bull 20151229 13:45,AMZN,bull 20151229 13:45,GOOG,bull 20151229 13:45,GOOGL,bull 20151229 14:31,CMG,bull 20151229 14:50,CMG,bear 20151229 15:31,GOOG,bear 20151229 15:31,GOOGL,bear 20151229 15:31,AMZN,bear 20151230 12:53,CMG,bear 20151230 13:27,WTW,bear 20151231 08:54,TSLA,bull 20151231 12:27,TSLA,bull 20151231 12:45,NFLX,bull 20151231 15:45,MCD,bull 20160101 09:16,HMC,bull 20160101 10:04,CMG,bear 20160101 10:45,TSLA,bull 20160101 13:15,CMG,bull 20160104 10:33,GM,bull 20160104 13:40,TSLA,bear 20160104 15:30,GM,bull 20160105 13:46,DIS,bull 20160105 15:38,Fit,bull 20160107 08:19,JWN,bear 20160107 12:57,TWC,bear 20160111 09:29,AAPL,bull 20160112 09:01,SBUX,bull 20160112 09:51,SBUX,bear 20160113 08:11,MA,bull 20160113 11:03,VIA,bull 20160113 11:27,KO,bull 20160113 12:24,GE,bull 20160113 14:22,CMG,bull 20160113 15:26,GE,bull 20160114 15:48,TSLA,bull 20160114 15:58,INTC,bull 20160115 13:42,INTC,bear 20160118 08:44,GS,bear 20160118 10:29,GS,bull 20160118 12:47,HMC,bull 20160118 14:33,HMC,bull 20160119 08:28,YHOO,bull 20160119 10:29,DB,bull 20160119 11:01,NFLX,bear 20160119 12:48,NFLX,bear 20160119 15:11,AAPL,bull 20160119 15:54,NFLX,bull 20160120 11:19,JPM,bull 20160121 09:10,AAPL,bull 20160121 09:10,CS,bull 20160121 12:38,SBUX,bull 20160122 08:11,CHK,bear 20160122 08:56,SLB,bull 20160122 09:13,MCD,bull 20160122 09:48,COST,bull 20160122 12:38,GOOG,bull 20160122 12:38,GOOGL,bull 20160122 12:38,AAPL,bull 20160122 14:55,AAPL,bull 20160125 08:10,MCD,bull 20160125 08:10,CAT,bull 20160125 08:10,GS,bull 20160125 09:42,CAT,bull 20160125 09:42,MCD,bull 20160125 12:34,WFR,bull 20160125 12:34,SUNE,bull 20160126 08:33,JPM,bull 20160126 08:48,JPM,bear 20160126 12:32,AAPL,bull 20160126 13:02,AAPL,bear 20160126 13:34,AAPL,bear 20160126 13:44,WTW,bull 20160126 15:49,AAPL,bull 20160127 09:16,AAPL,bull 20160127 09:33,AAPL,bull 20160127 09:33,AAPL,bear 20160127 09:38,AAPL,bear 20160127 09:38,BA,bear 20160127 11:15,Fit,bear 20160127 11:34,GS,bull 20160127 11:52,AAPL,bear 20160127 12:12,AAPL,bear 20160127 12:20,AMZN,bull 20160127 12:41,CMG,bull 20160127 13:00,AAPL,bear 20160128 08:03,HOG,bull 20160128 08:10,AAPL,bull 20160128 10:17,AAPL,bull 20160128 11:36,CAKE,bear 20160128 14:56,AMZN,bear 20160128 14:56,MSFT,bear 20160128 14:56,V,bear 20160128 15:30,AMZN,bull 20160129 08:39,AAPL,bull 20160129 09:09,AAPL,bull 20160129 10:06,MSFT,bull 20160129 14:08,MAT,bull 20160201 09:48,TSLA,bull 20160201 10:06,ABT,bull 20160201 12:04,AMZN,bear 20160201 12:04,AAPL,bear 20160201 15:43,GOOG,bear 20160201 15:43,GOOGL,bear 20160201 15:43,AAPL,bear 20160202 08:16,XOM,bull 20160202 08:20,MSFT,bull 20160202 10:38,AAPL,bull 20160202 15:45,YHOO,bull 20160203 08:11,TSLA,bear 20160203 08:22,ADP,bull 20160203 08:30,WFC,bear 20160203 13:04,TWX,bull 20160203 13:45,CMG,bull 20160203 15:22,TWX,bull 20160204 08:10,YHOO,bear 20160204 11:15,VIA,bull 20160204 12:08,WMT,bear 20160204 14:26,DNKN,bull 20160204 15:03,RL,bull 20160205 08:04,TSN,bull 20160205 09:10,LNKD,bull 20160205 09:32,LNKD,bear 20160205 13:13,BHI,bull 20160208 11:28,CHK,bear 20160208 11:37,CHK,bear 20160208 12:46,BUD,bull 20160208 13:38,BUD,bear 20160208 15:46,BUD,bear 20160209 10:02,JPM,bull 20160209 11:19,AAPL,bear 20160209 11:45,AAPL,bear 20160209 12:06,JPM,bull 20160209 15:40,CRM,bull 20160210 09:37,DIS,bear 20160210 09:37,TWX,bear 20160210 09:41,DIS,bear 20160210 11:15,AAPL,bear 20160210 13:16,WFM,bear 20160210 14:12,WFM,bull 20160211 10:06,CSCO,bull 20160211 10:06,AAPL,bull 20160211 11:27,BA,bull 20160211 14:17,BA,bull 20160211 15:21,VRX,bull 20160212 08:42,MYL,bear 20160212 08:56,DB,bear 20160212 15:24,GOOG,bear 20160212 15:24,GOOGL,bear 20160212 15:59,GOOG,bear 20160212 15:59,GOOGL,bear 20160215 14:06,AXP,bull 20160215 14:06,COST,bull 20160216 13:06,CAT,bull 20160216 13:06,BA,bull 20160216 13:06,CSCO,bull 20160216 13:06,HD,bull 20160217 08:26,AAPL,bear 20160217 09:38,MCD,bull 20160217 09:38,VZ,bull 20160217 09:47,MS,bear 20160217 10:25,MCD,bull 20160217 11:04,AAPL,bull 20160217 11:59,AAPL,bull 20160217 12:20,AAPL,bull 20160217 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20161117 15:59,AAPL,bull 20161118 08:09,CMG,bull 20161118 09:17,GS,bull 20161118 12:02,JBLU,bull 20161118 12:34,JBLU,bear 20161118 13:31,GS,bull 20161118 15:13,ANF,bear 20161118 15:37,SBUX,bull 20161121 08:26,MON,bear 20161121 12:16,SYMC,bear 20161121 12:33,AAPL,bear 20161122 08:14,GS,bull 20161122 09:43,AAPL,bull 20161123 13:14,LLY,bear 20161124 09:53,DPS,bull 20161124 09:53,PEP,bull 20161124 10:15,GS,bull 20161124 11:26,AAPL,bull 20161125 12:25,AAPL,bull 20161125 12:25,BBY,bull 20161125 12:25,TGT,bull 20161125 12:41,AAPL,bull 20161125 13:49,AAPL,bull 20161128 09:45,C,bull 20161128 11:56,BA,bear 20161128 13:11,AMZN,bull 20161128 15:51,AMZN,bull 20161129 08:50,GOOG,bull 20161129 08:50,GOOGL,bull 20161129 13:51,TSLA,bull 20161129 14:47,TSLA,bull 20161129 14:47,SCTY,bull 20161130 08:21,AEO,bear 20161130 08:29,ADP,bull 20161130 08:46,GOOG,bear 20161130 08:46,GOOGL,bear 20161130 09:01,GOOG,bear 20161130 09:01,GOOGL,bear 20161130 10:51,NFLX,bull 20161130 13:07,NFLX,bull 20161130 14:28,TSLA,bull 20161130 15:14,GPRO,bear 20161201 08:16,Fit,bull 20161201 09:19,F,bull 20161201 09:55,GM,bull 20161201 11:32,CAT,bull 20161201 12:28,F,bear 20161201 13:01,IHG,bull 20161201 14:15,K,bull 20161202 09:42,GS,bull 20161202 13:16,TSLA,bull 20161205 09:14,OMED,bear 20161205 12:23,AAPL,bull 20161205 15:17,CVX,bull 20161205 15:17,XOM,bull 20161205 15:21,GS,bear 20161206 08:06,EQIX,bull 20161206 08:06,VZ,bull 20161206 09:16,BA,bull 20161206 09:37,GOOG,bull 20161206 09:37,GOOGL,bull 20161206 10:14,BA,bear 20161206 10:52,NKE,bear 20161206 10:52,UA,bear 20161206 11:44,CMG,bull 20161206 12:02,BA,bear 20161206 12:16,GOOG,bull 20161206 12:16,GOOGL,bull 20161206 15:15,GOOG,bear 20161206 15:15,GOOGL,bear 20161207 08:05,SBUX,bear 20161207 08:32,SPWR,bear 20161207 10:09,AMZN,bull 20161207 11:57,T,bull 20161207 11:57,TWX,bull 20161208 09:50,MW,bear 20161208 12:10,GOOG,bull 20161208 12:10,GOOGL,bull 20161208 13:01,AAPL,bull 20161208 14:37,MW,bear 20161208 14:44,GS,bear 20161209 11:23,FOXA,bull 20161209 11:34,GE,bull 20161209 11:34,FOXA,bear 20161212 08:34,PRU,bull 20161212 08:34,WFC,bull 20161212 09:16,VIA,bull 20161212 10:18,CVX,bull 20161212 10:18,XOM,bull 20161212 12:16,LMT,bear 20161212 12:42,GS,bull 20161212 13:11,LMT,bull 20161212 14:54,GS,bull 20161213 08:05,FDX,bull 20161213 08:05,UPS,bull 20161213 08:53,BKS,bear 20161213 10:52,GOOG,bull 20161213 10:52,GOOGL,bull 20161213 11:42,JBLU,bull 20161213 12:07,BA,bull 20161213 12:38,WMT,bull 20161213 13:24,AAPL,bear 20161213 13:26,GOOG,bull 20161213 13:26,GOOGL,bull 20161213 13:32,WMT,bull 20161213 13:59,GOOG,bear 20161213 13:59,GOOGL,bear 20161214 08:33,SNP,bull 20161214 08:56,HST,bull 20161214 10:05,TSLA,bull 20161214 11:01,ALK,bear 20161214 11:01,VA,bear 20161214 13:46,AMZN,bull 20161214 13:46,MINT,bull 20161214 14:16,JPM,bear 20161214 15:35,AMZN,bear 20161215 08:50,GIS,bear 20161215 10:37,AXP,bull 20161215 10:37,GS,bull 20161215 10:37,JPM,bull 20161215 10:46,TSLA,bull 20161215 11:52,ORCL,bull 20161216 09:57,NTDOY,bull 20161216 12:46,NFLX,bull 20161216 13:32,MYL,bear 20161219 09:39,DIS,bull 20161219 10:27,DIS,bull 20161219 12:21,DIS,bull 20161220 08:42,WAG,bull 20161220 10:11,MS,bear 20161220 11:07,AMC,bull 20161220 14:37,AMZN,bull 20161220 15:14,NKE,bear 20161221 08:26,NKE,bull 20161221 08:40,FDX,bull 20161221 08:40,NKE,bull 20161221 11:43,FDX,bull 20161221 12:13,GS,bull 20161222 08:13,bidu,bull 20161222 12:17,AAPL,bull 20161222 12:46,JBLU,bull 20161222 12:56,NOK,bull 20161222 12:56,AAPL,bull 20161222 13:32,WFC,bear 20161222 14:14,AAPL,bear 20161222 14:42,JPM,bear 20161222 15:15,TSLA,bull 20161223 10:50,LMT,bull 20161223 13:12,BHI,bull 20161223 15:05,AAPL,bear 20161227 09:55,UPS,bear 20161227 10:01,AMZN,bull 20161227 10:06,AMZN,bull 20161227 10:17,UPS,bear 20161227 11:37,MINT,bull 20161227 12:00,AMZN,bear 20161227 12:29,AMZN,bull 20161228 10:24,NVDA,bull 20161228 10:24,NVDA,bull 20161228 11:36,NFLX,bear 20161228 11:48,HAL,bear 20161228 12:12,HAL,bear 20161228 15:27,MINT,bull 20161229 10:24,NVDA,bull 20161229 10:24,GS,bull 20161229 13:03,S,bear 20161230 08:33,TSLA,bull 20161230 10:38,TSLA,bull 20161230 12:33,MINT,bull 20170103 08:13,DB,bull 20170103 08:33,GM,bull 20170103 08:53,GM,bull 20170103 10:08,JPM,bull 20170103 11:07,GM,bull 20170103 11:13,F,bear 20170103 11:32,XRX,bull 20170103 11:32,CS,bull 20170103 12:24,F,bull 20170103 12:30,F,bear 20170103 12:57,F,bear 20170104 08:05,BX,bull 20170104 08:25,AMZN,bear 20170104 08:45,BX,bull 20170104 09:45,AMZN,bull 20170104 09:51,GM,bull 20170104 09:51,FCAU,bull 20170104 10:01,FCAU,bear 20170104 10:01,GM,bear 20170104 10:41,AMZN,bull 20170104 12:49,AMZN,bull 20170104 12:57,WTW,bear 20170104 13:12,MS,bull 20170104 13:41,JPM,bull 20170104 14:02,NVDA,bull 20170104 14:50,PFE,bull 20170105 08:59,SWK,bear 20170105 09:25,SHLD,bear 20170105 09:36,WMT,bear 20170105 10:05,GS,bull 20170105 11:39,MINT,bull 20170105 11:39,CS,bull 20170105 13:26,TM,bull 20170106 09:06,AAPL,bear 20170106 11:20,AMZN,bull 20170109 09:33,FCAU,bull 20170109 09:33,FCAU,bull 20170109 10:30,GM,bull 20170109 10:49,F,bull 20170109 10:49,GM,bull 20170109 11:22,GS,bull 20170109 12:11,PG,bull 20170109 12:11,GS,bull 20170109 12:26,GM,bear 20170109 14:46,MCD,bear 20170110 08:35,GS,bear 20170110 08:53,CMG,bear 20170110 12:07,YHOO,bear 20170110 12:17,GS,bear 20170110 14:44,BABA,bear 20170110 14:55,JBLU,bear 20170110 15:47,MSFT,bear 20170111 08:30,DNKN,bull 20170111 09:46,XOM,bull 20170111 11:42,GM,bull 20170111 12:47,AA,bear 20170112 08:12,DNKN,bull 20170112 09:15,VZ,bear 20170112 09:21,AMZN,bull 20170112 12:24,FCAU,bear 20170112 12:41,WMT,bull 20170112 13:00,ETFC,bull 20170112 13:04,DNKN,bear 20170112 14:35,MSFT,bear 20170113 08:11,WFC,bear 20170113 08:13,JPM,bull 20170113 08:23,GME,bull 20170113 09:43,JPM,bull 20170113 09:43,GS,bull 20170113 10:00,JPM,bull 20170113 10:56,JPM,bull 20170113 14:46,LOW,bear 20170117 08:25,JWN,bull 20170117 08:32,CMG,bull 20170117 09:05,XOM,bear 20170117 09:37,GM,bull 20170117 10:07,JCP,bear 20170117 10:07,NKE,bear 20170117 10:46,C,bear 20170117 10:48,C,bear 20170117 12:22,WMT,bull 20170118 08:24,C,bear 20170118 11:34,AMZN,bull 20170118 11:34,NFLX,bull 20170118 12:15,PSO,bear 20170118 14:43,GM,bull 20170118 15:23,AAPL,bear 20170118 15:23,AMZN,bear 20170119 12:10,AAPL,bear 20170119 12:51,TSLA,bear 20170119 12:51,MS,bear 20170119 13:06,GS,bull 20170120 08:11,AMZN,bear 20170120 10:04,KHC,bull 20170120 10:04,KRFT,bull 20170120 10:04,MDLZ,bull 20170120 10:09,HBC,bull 20170120 11:15,BMY,bear 20170120 11:15,MRK,bear 20170120 14:19,GS,bull 20170123 08:17,MCD,bear 20170123 08:26,GS,bull 20170123 09:50,AAPL,bear 20170123 10:16,GE,bear 20170123 10:16,MCD,bear 20170123 10:31,S,bull 20170123 10:58,MCD,bull 20170123 11:48,AET,bear 20170123 11:48,HUM,bear 20170123 12:56,AMZN,bull 20170124 08:19,GOOG,bear 20170124 08:19,GOOGL,bear 20170124 08:19,ORCL,bear 20170124 09:16,F,bull 20170124 09:16,AAPL,bull 20170124 09:19,BCS,bear 20170124 09:30,LGF,bull 20170124 09:41,AMZN,bull 20170124 10:09,NKE,bear 20170124 10:09,GS,bear 20170124 10:09,AAPL,bear 20170124 12:01,DD,bull 20170124 12:01,IBM,bull 20170124 12:20,BLK,bull 20170124 15:25,LMT,bull 20170125 09:26,TXT,bull 20170125 10:34,GE,bear 20170125 10:34,IBM,bear 20170125 10:35,GE,bull 20170125 10:35,IBM,bull 20170125 10:35,DIS,bull 20170125 11:02,BA,bull 20170125 12:00,GS,bull 20170125 14:06,WFC,bull 20170125 14:06,IBM,bull 20170125 14:11,AAPL,bear 20170125 14:13,AAPL,bear 20170126 09:07,F,bear 20170126 09:14,BABA,bull 20170126 09:18,VZ,bear 20170126 15:49,LUV,bear 20170127 08:41,CVX,bull 20170130 08:45,WAG,bear 20170130 09:16,Fit,bear 20170130 09:23,DAL,bear 20170130 11:58,NFLX,bull 20170130 11:58,SBUX,bull 20170130 13:17,AAPL,bear 20170131 08:24,MA,bear 20170131 08:25,XOM,bull 20170131 08:54,SNE,bear 20170131 09:57,CAT,bull 20170131 15:59,AAPL,bull 20170201 08:37,BAC,bear 20170201 09:11,ADP,bull 20170201 09:34,AAPL,bull 20170201 09:36,AAPL,bull 20170201 09:38,GM,bull 20170201 09:38,F,bull 20170201 09:48,AAPL,bull 20170201 09:52,TSLA,bear 20170201 10:35,WMT,bull 20170201 10:37,WMT,bear 20170201 12:22,AAPL,bear 20170201 13:39,AAPL,bull 20170201 14:12,AAPL,bull 20170201 14:59,AAPL,bear 20170201 15:23,AMZN,bull 20170202 08:06,BAC,bear 20170202 08:21,RL,bear 20170202 12:31,AMZN,bear 20170202 13:27,GS,bear 20170202 15:11,GOOG,bear 20170202 15:11,GOOGL,bear 20170203 08:16,PFE,bull 20170203 08:24,AAPL,bear 20170203 10:01,GS,bull 20170203 10:03,GS,bull 20170203 10:03,V,bull 20170203 12:28,UA,bear 20170203 12:42,JWN,bull 20170203 15:08,AMZN,bear 20170206 08:14,C,bull 20170206 08:56,AMZN,bull 20170207 08:34,AAPL,bull 20170207 08:34,GOOG,bull 20170207 08:34,GOOGL,bull 20170207 10:32,MSFT,bear 20170207 10:32,INTC,bear 20170207 14:47,DIS,bear 20170207 15:13,MAT,bear 20170207 15:13,HAS,bear 20170208 08:24,INTU,bear 20170208 08:25,SBUX,bull 20170208 11:00,JWN,bull 20170208 11:05,JPM,bull 20170208 11:10,JWN,bear 20170208 11:26,NVDA,bull 20170208 12:24,TSLA,bull 20170208 13:30,NVDA,bull 20170208 14:37,JWN,bull 20170208 14:43,DIS,bull 20170209 09:20,AAPL,bull 20170209 09:59,GS,bull 20170209 11:02,KO,bull 20170209 12:48,MINT,bull 20170209 15:25,BRKA,bull 20170209 15:25,BRKB,bull 20170210 08:55,AAPL,bull 20170210 09:51,SHLD,bull 20170210 10:47,NVDA,bull 20170210 10:48,SKX,bull 20170213 08:33,AAPL,bull 20170213 09:24,AAPL,bull 20170213 10:32,GS,bull 20170213 10:32,AAPL,bull 20170213 11:32,SBUX,bull 20170214 08:18,MAT,bear 20170214 08:18,BABA,bear 20170214 08:54,GS,bear 20170214 09:26,TGT,bull 20170214 09:26,GPS,bull 20170214 09:26,BBY,bull 20170214 10:11,AAPL,bull 20170214 13:03,MS,bear 20170214 13:14,AAPL,bull 20170214 13:32,BAC,bear 20170214 13:34,TSLA,bull 20170215 09:58,AAPL,bull 20170215 10:24,BX,bear 20170215 11:00,GS,bull 20170216 13:02,MS,bull 20170217 08:21,UN,bear 20170217 08:59,UN,bear 20170217 09:51,BA,bull 20170217 10:16,BA,bull 20170217 13:59,CSCO,bull 20170217 13:59,CSCO,bull 20170217 14:05,BA,bull 20170217 14:56,UN,bear 20170217 15:41,CSCO,bear 20170220 14:25,MSFT,bear 20170221 09:33,AAPL,bull 20170221 09:46,AMZN,bull 20170221 11:28,AAPL,bull 20170221 11:28,MS,bull 20170221 12:22,SKX,bull 20170221 13:27,PEP,bull 20170221 13:42,WFC,bear 20170221 14:59,CVX,bear 20170221 14:59,C,bear 20170221 15:46,UN,bear 20170222 08:24,GOOG,bull 20170222 08:24,GOOGL,bull 20170222 09:19,AAPL,bull 20170222 13:56,BRKA,bear 20170222 13:56,BRKB,bear 20170222 15:25,TSLA,bull 20170222 15:25,SCTY,bull 20170222 15:36,Fit,bull 20170222 15:36,GRMN,bull 20170223 08:38,BSX,bear 20170223 08:39,F,bull 20170223 08:39,GM,bull 20170223 13:37,NVDA,bull """ self.trade_data = {} equities = Set() # store a list of trades if there are multiple per minute f = StringIO(raw_trade_data) for row in csv.reader(f, delimiter=','): if row: # blank lines key = row[0] # [:-3] # take last 3 chars off if we have seconds if key in self.trade_data: self.trade_data[key].append(row) else: self.trade_data[key] = [row] if len(row) > 1: equities.add(row[1]) for symbol in equities: self.AddEquity(symbol) self.SetCash(100000) self.SetStartDate(2015,7,) self.SetEndDate(2017,2,22) self.AddEquity("SPY", Resolution.Minute) self.Schedule.On( self.DateRules.EveryDay("SPY"), self.TimeRules.BeforeMarketClose("SPY", 5), Action(self.Liquidate) ) def OnData(self, slice): timekey = datetime(slice.Time).strftime("%Y%m%d %H:%M") if timekey in self.trade_data: rows = self.trade_data[timekey] # TODO delete the key from self.trade_data, just in case OnData fires # more than once within same minute. for row in rows: symbol = row[1] strategy = row[2] self.Log(repr(self.Identity(symbol).ToString())) # cash = min(self.Portfolio.CashBook.Values[0].Amount, 100000) # stock_price = self.Identity(symbol).Current.Value # self.Log(str(stock_price)) # qty = int(Decimal(cash) // Decimal(stock_price)) / 2 if strategy == "bull": newTicket = self.MarketOrder(symbol, 1000, asynchronous = False) elif strategy == "bear": newTicket = self.MarketOrder(symbol, -1000, asynchronous = False) # self.SetHoldings(symbol, -0.5)