| Overall Statistics |
|
Total Trades 779 Average Win -1.72% Average Loss 0.44% Compounding Annual Return -24.001% Drawdown 99.800% Expectancy -2.170 Net Profit -99.740% Sharpe Ratio -0.611 Probabilistic Sharpe Ratio 0.000% Loss Rate 60% Win Rate 40% Profit-Loss Ratio -3.92 Alpha 0 Beta 0 Annual Standard Deviation 0.325 Annual Variance 0.105 Information Ratio -0.611 Tracking Error 0.325 Treynor Ratio 0 Total Fees $172001.31 Estimated Strategy Capacity $370000000.00 Lowest Capacity Asset AAPL R735QTJ8XC9X |
from System.Drawing import Color
class SMAStrategy(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2000, 1, 1) # Set Start Date
self.SetEndDate(2021, 8, 31) # Set End Date
self.SetCash(100000) # Set Strategy Cash
self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage) #, AccountType.Margin)
self.aapl = self.AddEquity("AAPL", Resolution.Daily).Symbol
lenght = self.GetParameter("sma_lenght")
lenght = 5 if lenght is None else int(lenght)
#self.tolerance = self.GetParameter("crossover_tolerance")
#self.tolerance = 0.0002 if self.tolerance is None else self.tolerance
self.sma = self.SMA(self.aapl, lenght, Resolution.Daily)
self.SetWarmUp(timedelta(lenght))
self.Schedule.On(self.DateRules.On(2021,8, 31), self.TimeRules.At(15,45),
self.ExitPositions)
stockPlot = Chart("Trade Plot")
stockPlot.AddSeries(Series("Buy", SeriesType.Scatter, "$", Color.Green, ScatterMarkerSymbol.Triangle))
stockPlot.AddSeries(Series("Sell", SeriesType.Scatter, "$", Color.Red, ScatterMarkerSymbol.TriangleDown))
self.AddChart(stockPlot)
def OnData(self, data):
if not self.sma.IsReady:
return
price = self.Securities[self.aapl].Price
self.Debug(str(self.Time) + " Purchasing AAPL: " + str(price))
tolerance = 0.0000
self.Plot("Trade Plot", "Price", price)
self.Plot("Trade Plot", "SMA", self.sma.Current.Value)
self.Debug(str(self.Time) + " SMA " + str(self.sma.Current.Value))
holdings = self.Portfolio[self.aapl].Quantity
if holdings <= 0:
if self.sma.Current.Value > price * (1 + tolerance):
self.SetHoldings(self.aapl,1)
self.Plot("Trade Plot", "Buy", price)
elif self.sma.Current.Value < price * (1 - tolerance):
self.SetHoldings(self.aapl,-1)
self.Plot("Trade Plot", "Sell", price)
def ExitPositions(self):
self.Liquidate()