| Overall Statistics |
|
Total Trades 92 Average Win 1.11% Average Loss -0.89% Compounding Annual Return 8.772% Drawdown 16.000% Expectancy 0.194 Net Profit 6.858% Sharpe Ratio 0.464 Probabilistic Sharpe Ratio 27.750% Loss Rate 47% Win Rate 53% Profit-Loss Ratio 1.24 Alpha 0.006 Beta 0.367 Annual Standard Deviation 0.158 Annual Variance 0.025 Information Ratio -0.663 Tracking Error 0.167 Treynor Ratio 0.199 Total Fees $563.19 Estimated Strategy Capacity $88000000.00 Lowest Capacity Asset NFLX SEWJWLJNHZDX |
# MACD Alpha Model
class FrameworkAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 1, 1)
self.SetEndDate(2021, 10, 15)
self.SetCash(1000000)
tickers = ["AAPL", "MSFT", "TSLA", "NVDA", "DIS", "AMD", "NFLX"]
symbols = [Symbol.Create(t, SecurityType.Equity, Market.USA) for t in tickers]
self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))
self.UniverseSettings.Resolution = Resolution.Daily
self.AddAlpha(MacdAlphaModel())
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(self.DateRules.Every(DayOfWeek.Monday)))
self.SetExecution(ImmediateExecutionModel())
class MacdAlphaModel(AlphaModel):
def __init__(self,
fastPeriod = 12,
slowPeriod = 26,
signalPeriod = 9,
movingAverageType = MovingAverageType.Exponential,
resolution = Resolution.Daily):
self.fastPeriod = fastPeriod
self.slowPeriod = slowPeriod
self.signalPeriod = signalPeriod
self.movingAverageType = movingAverageType
self.resolution = resolution
self.insightPeriod = Time.Multiply(Extensions.ToTimeSpan(resolution), fastPeriod)
self.bounceThresholdPercent = 0.01
self.symbolData = {}
resolutionString = Extensions.GetEnumString(resolution, Resolution)
movingAverageTypeString = Extensions.GetEnumString(movingAverageType, MovingAverageType)
self.Name = '{}({},{},{},{},{})'.format(self.__class__.__name__, fastPeriod, slowPeriod, signalPeriod, movingAverageTypeString, resolutionString)
def Update(self, algorithm, data):
insights = []
for key, sd in self.symbolData.items():
if sd.Security.Price == 0:
continue
direction = InsightDirection.Flat
normalized_signal = sd.MACD.Signal.Current.Value / sd.Security.Price
if normalized_signal > self.bounceThresholdPercent:
direction = InsightDirection.Up
elif normalized_signal < -self.bounceThresholdPercent:
direction = InsightDirection.Flat
if direction == sd.PreviousDirection:
continue
insight = Insight.Price(sd.Security.Symbol, self.insightPeriod, direction)
sd.PreviousDirection = insight.Direction
insights.append(insight)
return insights
def OnSecuritiesChanged(self, algorithm, changes):
for added in changes.AddedSecurities:
self.symbolData[added.Symbol] = SymbolData(algorithm, added, self.fastPeriod, self.slowPeriod, self.signalPeriod, self.movingAverageType, self.resolution)
for removed in changes.RemovedSecurities:
data = self.symbolData.pop(removed.Symbol, None)
if data is not None:
algorithm.SubscriptionManager.RemoveConsolidator(removed.Symbol, data.Consolidator)
class SymbolData:
def __init__(self, algorithm, security, fastPeriod, slowPeriod, signalPeriod, movingAverageType, resolution):
self.Security = security
self.MACD = MovingAverageConvergenceDivergence(fastPeriod, slowPeriod, signalPeriod, movingAverageType)
self.Consolidator = algorithm.ResolveConsolidator(security.Symbol, resolution)
algorithm.RegisterIndicator(security.Symbol, self.MACD, self.Consolidator)
self.PreviousDirection = None