| Overall Statistics |
|
Total Trades 506 Average Win 1.43% Average Loss -0.61% Compounding Annual Return 25.793% Drawdown 15.900% Expectancy 0.604 Net Profit 223.538% Sharpe Ratio 1.619 Probabilistic Sharpe Ratio 84.333% Loss Rate 52% Win Rate 48% Profit-Loss Ratio 2.33 Alpha 0.173 Beta 0.53 Annual Standard Deviation 0.171 Annual Variance 0.029 Information Ratio 0.489 Tracking Error 0.165 Treynor Ratio 0.522 Total Fees $16094.07 Estimated Strategy Capacity $72000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
class PriceActionLSSPY(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2016, 6, 1)
self.SetEndDate(2021, 7, 12)
self.SetCash(1000000)
self.AddEquity("SPY", Resolution.Minute)
self.SetBenchmark("SPY")
self.SetBrokerageModel(BrokerageName.AlphaStreams)
self.SetExecution(ImmediateExecutionModel())
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
symbol = [Symbol.Create("SPY", SecurityType.Equity, Market.USA)]
self.AddUniverseSelection(ManualUniverseSelectionModel(symbol))
self.AddAlpha(PriceActionLSSPYAlphaModel(self, "SPY"))
class PriceActionLSSPYAlphaModel(AlphaModel):
def __init__(self, algorithm, tkr):
self.period = timedelta(days=1)
self.symbol = tkr
self.symbolData = SymbolData(algorithm)
def Update(self, algorithm, data):
insights = []
HO = 0.0
OL = 0.0
if self.symbolData.Updated:
Open = self.symbolData.open
High = self.symbolData.high
Low = self.symbolData.low
Close = self.symbolData.close
HO = High - Open
OL = Open - Low
HC = High - Close
CL = Close - Low
if Close > Open:
if HO > OL:
insights.append(Insight(self.symbol, self.period, InsightType.Price, InsightDirection.Up, 1, None))
if Close < Open:
if HO < OL:
insights.append(Insight(self.symbol, self.period, InsightType.Price, InsightDirection.Up, 1, None))
if HO > OL:
insights.append(Insight(self.symbol, self.period, InsightType.Price, InsightDirection.Down, 1, None))
if HO == OL:
insights.append(Insight(self.symbol, self.period, InsightType.Price, InsightDirection.Up, 1, None))
if Close == Open:
if HO < OL:
insights.append(Insight(self.symbol, self.period, InsightType.Price, InsightDirection.Up, 1, None))
if HO > OL:
insights.append(Insight(self.symbol, self.period, InsightType.Price, InsightDirection.Down, 1, None))
if HO == OL:
insights.append(Insight(self.symbol, self.period, InsightType.Price, InsightDirection.Flat, 1, None))
self.symbolData.Updated = False
return insights
def OnSecuritiesChanged(self, algorithm, changes):
self.changes = changes
class SymbolData:
def __init__(self, algorithm):
algorithm.Consolidate("SPY", Resolution.Daily, self.DailyBarHandler)
self.open = 0
self.close = 0
self.high = 0
self.low = 0
self.Updated = False
def DailyBarHandler(self, consolidated):
self.open = consolidated.Open
self.close = consolidated.Close
self.high = consolidated.High
self.low = consolidated.Low
self.Updated = True