| Overall Statistics |
|
Total Trades 588 Average Win 0.07% Average Loss -0.15% Compounding Annual Return -89.991% Drawdown 27.800% Expectancy -0.731 Net Profit -27.806% Sharpe Ratio -15.122 Probabilistic Sharpe Ratio 0.000% Loss Rate 82% Win Rate 18% Profit-Loss Ratio 0.50 Alpha -1.051 Beta 0.057 Annual Standard Deviation 0.059 Annual Variance 0.003 Information Ratio -11.883 Tracking Error 0.308 Treynor Ratio -15.53 Total Fees $1224.48 |
import numpy as np
import math
# T is short for either Type or Mr. T (your choice)
class PositionT(Enum):
I = 1 # just so we can set our inital enum state to a value
T1 = 2 # long ZNH short CEA
T2 = 2 # short ZNH long CEA
T3 = 3 # liquidated (no holdings)
stock1 = 'ZNH'
stock2 = 'CEA'
class TachyonCalibratedThrustAssembly(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 4, 1) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.UniverseSettings.Resolution = Resolution.Hour
# fun fact: both of these companies are Chinese Airlines listed on NYSE!
self.znh = self.AddEquity(stock1)
self.cea = self.AddEquity(stock2)
self.LogRatioMovingAverage = SimpleMovingAverage(50)
self.LogRatioMovingStd = StandardDeviation(50)
self.PreviousHour = -1
self.T = PositionT.I
history = self.History(self.Securities.Keys, 100)
history = history['open'].unstack(level=0).dropna()
history = history[(history!=0).all(1)]
for tuple in history.itertuples():
temp = math.log(tuple[2] / tuple[1])
self.LogRatioMovingAverage.Update(tuple[0], math.log(tuple[1] / tuple[2]))
self.LogRatioMovingStd.Update(tuple[0], math.log(tuple[1] / tuple[2]))
def OnData(self, data):
if data.ContainsKey(stock1) and data.ContainsKey(stock2) and self.PreviousHour != self.Time.hour:
self.PreviousHour = self.Time.hour
log_ratio = math.log(data[stock1].Open / data[stock2].Open)
self.LogRatioMovingStd.Update(self.Time, log_ratio)
self.LogRatioMovingAverage.Update(self.Time, log_ratio)
if not self.LogRatioMovingStd.IsReady or not self.LogRatioMovingAverage.IsReady:
return
std = self.LogRatioMovingStd.Current.Value
ma = self.LogRatioMovingAverage.Current.Value
if log_ratio > ma + std and self.T != PositionT.T1:
self.T = PositionT.T1
self.SetHoldings(stock1, .1)
self.SetHoldings(stock2, -.1)
elif log_ratio < ma + std and self.T != PositionT.T2:
self.T = PositionT.T2
self.SetHoldings(stock1, -.1)
self.SetHoldings(stock2, .1)
elif self.T == PositionT.T1 and log_ratio < ma:
self.Liquidate()
self.T = PositionT.T3
elif self.T == PositionT.T2 and log_ratio > ma:
self.Liquidate()
self.T = PositionT.T3