| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return -75.012% Drawdown 5.200% Expectancy 0 Net Profit -4.699% Sharpe Ratio -3.453 Probabilistic Sharpe Ratio 10.814% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.03 Beta 1.025 Annual Standard Deviation 0.183 Annual Variance 0.033 Information Ratio -1.71 Tracking Error 0.026 Treynor Ratio -0.615 Total Fees $1.00 Estimated Strategy Capacity $56000000.00 Lowest Capacity Asset QQQ RIWIV7K5Z9LX |
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from QuantConnect.Data.Market import TradeBar
# David Eldringhoff RSI Slope fixed by Vladimir
# -----------------------------------------------------------
STOCK = 'QQQ'; BAR = 5; RSI_PERIOD = 14; MA = 14; DELAY = 1; FAST = 12; SLOW = 26
# -----------------------------------------------------------
class RSI_Slope(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021,11,20)
self.SetEndDate(datetime.now())
self.SetCash(25000)
self.SetBenchmark("QQQ")
self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage)
self.AddEquity("QQQ", Resolution.Minute)
self.AddEquity("PSQ", Resolution.Minute)
self.SetWarmUp(300, Resolution.Minute)
consolidator = TradeBarConsolidator(timedelta(minutes = BAR))
consolidator.DataConsolidated += self.thirtyMinuteBarHandler
self.rsi = RelativeStrengthIndex(RSI_PERIOD)
self.qqqMACD = MovingAverageConvergenceDivergence(FAST, SLOW, 9, MovingAverageType.Exponential)
self.RegisterIndicator("QQQ", self.rsi, consolidator)
self.RegisterIndicator("QQQ", self.qqqMACD, consolidator)
self.sma_rsi = IndicatorExtensions.SMA(self.rsi, MA)
self.sma_rsi_past = IndicatorExtensions.Of(Delay(DELAY), self.sma_rsi)
self.rsi_slope = IndicatorExtensions.Minus(self.sma_rsi, self.sma_rsi_past)
def thirtyMinuteBarHandler(self, sender, consolidated):
if self.IsWarmingUp or not self.rsi_slope.IsReady: return
self.Plot('RSI SLOPE', 'rsi_slope', self.rsi_slope.Current.Value)
self.Plot('RSI SLOPE', 'zero', 0)
qqqMACDfast = self.qqqMACD.Fast.Current.Value
qqqMACDslow = self.qqqMACD.Slow.Current.Value
qqqMACDline = self.qqqMACD.Current.Value
qqqsignalline = self.qqqMACD.Signal.Current.Value
qqqMACDHistgram = self.qqqMACD.Histogram.Current.Value
qqqrsislope = self.rsi_slope.Current.Value
self.Log("qqqrsislope: {0}, Histogram {1}".format(qqqrsislope, qqqMACDHistgram))
if not self.Portfolio["QQQ"].Invested and qqqrsislope > 0:
self.SetHoldings("QQQ", 1)