| Overall Statistics |
|
Total Trades 9 Average Win 20.32% Average Loss -2.82% Compounding Annual Return 8.152% Drawdown 18.700% Expectancy 5.162 Net Profit 199.814% Sharpe Ratio 0.629 Loss Rate 25% Win Rate 75% Profit-Loss Ratio 7.22 Alpha 0.071 Beta -0.023 Annual Standard Deviation 0.112 Annual Variance 0.013 Information Ratio 0.114 Tracking Error 0.22 Treynor Ratio -3.084 Total Fees $14.20 |
using QuantConnect.Data.Consolidators;
namespace QuantConnect
{
/*
* John Ehlers' MAMA and FAMA
* (programmed by Jean-Paul van Brakel)
*/
public class BasicTemplateAlgorithm : QCAlgorithm
{
public string _ticker = "SPY"; // which stock ticker
public static int _consolidated_days = 20; // number of days
public static double MAMA_FastLimit = 0.20; // fast parameter
public static double MAMA_SlowLimit = 0.005; // slow parameter
private TradeBarConsolidator consolidator;
private readonly RollingWindow<double> Prices = new RollingWindow<double>(9);
private readonly RollingWindow<double> Smooths = new RollingWindow<double>(9);
private readonly RollingWindow<double> Periods = new RollingWindow<double>(9);
private readonly RollingWindow<double> Detrenders = new RollingWindow<double>(9);
private readonly RollingWindow<double> Q1s = new RollingWindow<double>(9);
private readonly RollingWindow<double> I1s = new RollingWindow<double>(9);
private readonly RollingWindow<double> Q2s = new RollingWindow<double>(9);
private readonly RollingWindow<double> I2s = new RollingWindow<double>(9);
private readonly RollingWindow<double> Res = new RollingWindow<double>(9);
private readonly RollingWindow<double> Ims = new RollingWindow<double>(9);
private readonly RollingWindow<double> SmoothPeriods= new RollingWindow<double>(9);
private readonly RollingWindow<double> Phases = new RollingWindow<double>(9);
private readonly RollingWindow<double> MAMAs = new RollingWindow<double>(9);
private readonly RollingWindow<double> FAMAs = new RollingWindow<double>(9);
private Chart plotter;
decimal _oldprice = 100000;
decimal _price;
int _old_dir = 0;
int _mama_dir = 0;
int _trend_dir = 0;
public override void Initialize()
{
//Start and End Date range for the backtest:
SetStartDate(2000, 1, 1);
SetEndDate(2014, 1, 1);
SetCash(25000);
AddSecurity(SecurityType.Equity, _ticker, Resolution.Daily);
consolidator = new TradeBarConsolidator(TimeSpan.FromDays(_consolidated_days));
consolidator.DataConsolidated += ConsolidatedHandler;
SubscriptionManager.AddConsolidator(_ticker, consolidator);
plotter = new Chart("MAMA", ChartType.Overlay);
plotter.AddSeries(new Series("Price", SeriesType.Line));
plotter.AddSeries(new Series("MAMA", SeriesType.Line));
plotter.AddSeries(new Series("FAMA", SeriesType.Line));
AddChart(plotter);
//Warm up the variables
for (int i = 0; i < 7; i++) {
Periods.Add(0.0);
Smooths.Add(0.0);
Detrenders.Add(0.0);
Q1s.Add(0.0);
I1s.Add(0.0);
Q2s.Add(0.0);
I2s.Add(0.0);
Res.Add(0.0);
Ims.Add(0.0);
SmoothPeriods.Add(0.0);
Phases.Add(0.0);
MAMAs.Add(0.0);
FAMAs.Add(0.0);
}
}
public void OnData(TradeBars data)
{
// ignore this for now
}
public void ConsolidatedHandler(object sender, TradeBar data) {
Prices.Add((double)(data.High + data.Low)/2);
_price = data.Close;
if (!Prices.IsReady) return;
// MAMA and FAMA
// *********************************************************************************************************
double Smooth = (double) ((4*Prices[0] + 3*Prices[1] + 2*Prices[2] + Prices[3])/10);
Smooths.Add(Smooth);
double Detrender = (.0962*Smooths[0] + .5769*Smooths[2] - .5769*Smooths[4] - .0962*Smooths[6])*(.075*Periods[1] + .54);
Detrenders.Add(Detrender);
// Compute InPhase and Quadrature components
Q1s.Add((.0962*Detrenders[0] + .5769*Detrenders[2] - .5769*Detrenders[4] - .0962*Detrenders[6])*(.075*Periods[1] + .54));
I1s.Add(Detrenders[3]);
// Advance the phase of I1 and Q1 by 90 degrees
double jI = (.0962*I1s[0] + .5769*I1s[2] - .5769*I1s[4] - .0962*I1s[6])*(.075*Periods[1] + .54);
double jQ = (.0962*Q1s[0] + .5769*Q1s[2] - .5769*Q1s[4] - .0962*Q1s[6])*(.075*Periods[1] + .54);
// Phasor addition for 3 bar averaging
double I2 = I1s[0] - jQ;
double Q2 = Q1s[0] + jI;
// Smooth the I and Q components before applying the discriminator
I2s.Add(.2*I2 + .8*I2s[0]);
Q2s.Add(.2*Q2 + .8*Q2s[0]);
// Homodyne Discriminator
double Re = I2s[0]*I2s[1] + Q2s[0]*Q2s[1];
double Im = I2s[0]*Q2s[1] - Q2s[0]*I2s[1];
Res.Add(.2*Re + .8*Res[0]);
Ims.Add(.2*Im + .8*Ims[0]);
double Period = 0;
if (Im != 0 && Re != 0)
Period = (2*Math.PI)/Math.Atan(Im/Re);
if (Period > 1.5*Periods[0])
Period = 1.5*Periods[0];
if (Period < .67*Periods[0])
Period = .67*Periods[0];
if (Period < 6)
Period = 6;
if (Period > 50)
Period = 50;
Periods.Add(.2*Period + .8*Periods[0]);
SmoothPeriods.Add(33*Periods[0] + .67*SmoothPeriods[0]);
if (I1s[0] != 0)
Phases.Add(Math.Atan(Q1s[0] / I1s[0]));
double DeltaPhase = Phases[1] - Phases[0];
if (DeltaPhase < 1)
DeltaPhase = 1;
double alpha = MAMA_FastLimit / DeltaPhase;
if (alpha < MAMA_SlowLimit)
alpha = MAMA_SlowLimit;
MAMAs.Add(alpha*Prices[0] + (1 - alpha)*MAMAs[0]);
FAMAs.Add(.5*alpha*MAMAs[0] + (1 - .5*alpha)*FAMAs[0]);
if (MAMAs[0] > FAMAs[0]) {
_trend_dir = 1;
} else if (MAMAs[0] < FAMAs[0]) {
_trend_dir = -1;
}
if (MAMAs[0] > MAMAs[1]) {
_mama_dir = 1;
} else if (MAMAs[0] < MAMAs[1]) {
_mama_dir = -1;
}
// *********************************************************************************************************
// Update chart
if (Math.Abs(FAMAs[0] - Prices[0]) < 5) {
Plot("MAMA", "price", Prices[0]);
Plot("MAMA", "MAMA", MAMAs[0]);
Plot("MAMA", "FAMA", FAMAs[0]);
}
// Order logic / (simple) risk management
decimal pps = ((_price - _oldprice)/_oldprice)*100;
if (pps < -2.5M || _trend_dir != _old_dir) { // if direction is wrong
// End position
Liquidate(_ticker);
}
if (!Portfolio.HoldStock) {
int quantity = (int)Math.Floor(Portfolio.Cash / data.Close);
if (_trend_dir != _old_dir) {
if (quantity > 0)
Order(_ticker, _trend_dir*quantity);
_oldprice = _price;
_old_dir = _trend_dir;
}
}
}
}
}