| Overall Statistics |
|
Total Trades 234 Average Win 3.80% Average Loss -1.31% Compounding Annual Return -43.178% Drawdown 47.900% Expectancy -0.165 Net Profit -24.517% Sharpe Ratio -0.95 Probabilistic Sharpe Ratio 6.135% Loss Rate 79% Win Rate 21% Profit-Loss Ratio 2.91 Alpha -0.406 Beta 0.62 Annual Standard Deviation 0.405 Annual Variance 0.164 Information Ratio -1.229 Tracking Error 0.341 Treynor Ratio -0.62 Total Fees $1232.32 Estimated Strategy Capacity $63000000.00 Lowest Capacity Asset AAPL R735QTJ8XC9X |
class GeekyYellowGreenArmadillo(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 1, 1)
self.SetEndDate(2020, 6, 30)
self.SetCash(100000)
equity = self.AddEquity("AAPL", Resolution.Hour)
equity.SetDataNormalizationMode(DataNormalizationMode.Adjusted)
self.symbol = equity.Symbol
self.SetBenchmark(self.AddEquity("SPY").Symbol)
self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin)
self.period = timedelta(hours=1)
self.nextEntryTime = self.Time
self.state = False
def OnData(self, data):
if not self.symbol in data:
return
price = self.Securities[self.symbol].Price
if not self.state and self.Time >= self.nextEntryTime:
quantity = self.CalculateOrderQuantity(self.symbol, 1.)
self.longOrder = self.LimitOrder(self.symbol, quantity, price)
self.exitPrice = round(price * 1.03, 2)
self.stopPrice = round(price * 0.99, 2)
self.stopOrder = self.StopMarketOrder(self.symbol, -quantity, self.stopPrice) #stop order
self.state = True
elif price > self.exitPrice: #profit taker
self.Liquidate() #stop order cancelled
def OnOrderEvent(self, orderEvent):
if orderEvent.Status == OrderStatus.Filled:
if orderEvent.OrderId == self.longOrder.OrderId:
updateSettings = UpdateOrderFields()
updateSettings.StopPrice = round(orderEvent.FillPrice * 0.99, 2)
self.stopOrder.Update(updateSettings)
self.exitPrice = round(orderEvent.FillPrice * 1.03, 2)
self.Log("BUY " + self.symbol.Value + " @ " + str(orderEvent.FillPrice) + " STOP ORDER @ " + str(self.stopPrice) + " TARGET EXIT @ " + str(self.exitPrice) )
elif orderEvent.OrderId == self.stopOrder.OrderId: #upon stop order
self.state = False
self.nextEntryTime = self.Time + self.period
self.Transactions.CancelOpenOrders()
self.Log("STOP ORDER FILLED @ " + str(orderEvent.FillPrice) + " NEXT ENTRY TIME " + str(self.nextEntryTime))
else:
self.state = False
self.nextEntryTime = self.Time + self.period
self.Transactions.CancelOpenOrders()
self.Log("PROFIT " + self.symbol.Value + " @ " + str(orderEvent.FillPrice) + " STOP ORDER CANCELLED " + " NEXT ENTRY TIME " + str(self.nextEntryTime))
elif orderEvent.Status == OrderStatus.Canceled:
self.Transactions.CancelOpenOrders()
self.state = False