| Overall Statistics |
|
Total Trades 497 Average Win 3.41% Average Loss -1.81% Compounding Annual Return 15.364% Drawdown 24.300% Expectancy 0.479 Net Profit 581.729% Sharpe Ratio 1.012 Probabilistic Sharpe Ratio 40.615% Loss Rate 49% Win Rate 51% Profit-Loss Ratio 1.89 Alpha 0.15 Beta 0.159 Annual Standard Deviation 0.168 Annual Variance 0.028 Information Ratio 0.182 Tracking Error 0.238 Treynor Ratio 1.075 Total Fees $5325.46 Estimated Strategy Capacity $24000000.00 Lowest Capacity Asset TLT SGNKIKYGE9NP |
# Trading Donchian Channel by Vladimir
class DonchianChannel(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2008, 1, 1)
self.SetEndDate(2021, 6, 2)
period = 20;
ma = 2
self.stock = self.AddEquity('QQQ', Resolution.Hour).Symbol
self.bond = self.AddEquity('TLT', Resolution.Hour).Symbol
self.SetWarmUp(period + ma + 1)
self.sma = self.SMA(self.stock, ma, Resolution.Daily)
self.donchian = self.DCH(self.stock, period, period, Resolution.Daily)
self.in_stock = 0
def OnData(self, data):
if self.IsWarmingUp or not self.donchian.IsReady: return
ml = self.donchian.Current.Value
sma = self.sma.Current.Value
if sma >= ml and not self.in_stock:
self.SetHoldings(self.stock, 1)
self.SetHoldings(self.bond, 0)
self.in_stock = 1
elif sma < ml and self.in_stock:
self.SetHoldings(self.stock, 0)
self.SetHoldings(self.bond, 1)
self.in_stock = 0