Overall Statistics
Total Trades
612
Average Win
0.05%
Average Loss
-0.05%
Compounding Annual Return
-53.452%
Drawdown
12.100%
Expectancy
-0.596
Net Profit
-11.758%
Sharpe Ratio
-10.397
Probabilistic Sharpe Ratio
0%
Loss Rate
80%
Win Rate
20%
Profit-Loss Ratio
0.98
Alpha
0
Beta
0
Annual Standard Deviation
0.04
Annual Variance
0.002
Information Ratio
-10.397
Tracking Error
0.04
Treynor Ratio
0
Total Fees
$2105.30
Estimated Strategy Capacity
$71000000.00
Lowest Capacity Asset
ZF MD
 
class SmoothApricotCaribou(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2019, 1, 1)  # Set Start Date
        self.SetEndDate(2019, 3, 1)
        self.SetCash(50000)  # Set Strategy Cash
        # self.AddEquity("SPY", Resolution.Minute)
        self.y5treasurynote = self.AddFuture(Futures.Financials.Y5TreasuryNote)
     
        self.slowema = self.EMA(self.y5treasurynote.Symbol, 21, Resolution.Minute)
        self.fastema = self.EMA(self.y5treasurynote.Symbol, 9, Resolution.Minute)
     
        self.Schedule.On(self.DateRules.EveryDay(self.y5treasurynote.Symbol), self.TimeRules.At(13, 00), self.ClosePositions)
        self.Schedule.On(self.DateRules.EveryDay(self.y5treasurynote.Symbol), self.TimeRules.Every(timedelta(hours=1)), self.PlotEMAs)

        self.SetBenchmark(self.y5treasurynote.Symbol)
        self.SetWarmup(30)
     
     
   

    def OnData(self, data):
        if not self.slowema.IsReady: return
        if not self.fastema.IsReady: return
    
        self.Debug("EMAs are ready.")
    
        if self.Time.hour >= 9 and self.Time.hour <= 12:
            self.Debug(f"Time is between 9h and 12h inclusive. Time is: {self.Time}")
            if not self.Portfolio.Invested:
                if self.fastema.Current.Value > self.slowema.Current.Value:
                    self.MarketOrder(self.y5treasurynote.Symbol, 1)
                elif self.fastema.Current.Value < self.slowema.Current.Value: 
                    self.MarketOrder(self.y5treasurynote.Symbol, -1)
            elif self.Portfolio[self.y5treasurynote.Symbol].Quantity > 0:
                if self.fastema.Current.Value < self.slowema.Current.Value: 
                    self.MarketOrder(self.y5treasurynote.Symbol, -2)
            elif self.Portfolio[self.y5treasurynote.Symbol].Quantity < 0:
                if self.fastema.Current.Value > self.slowema.Current.Value: 
                    self.MarketOrder(self.y5treasurynote.Symbol, 2)
        else: pass
 
    def ClosePositions(self):
        self.Liquidate(self.y5treasurynote.Symbol)
    
    def PlotEMAs(self):
        self.Plot("EMAs", "Fast", self.fastema.Current.Value)
        self.Plot("EMAs", "Slow", self.slowema.Current.Value)