| Overall Statistics |
|
Total Trades 4257 Average Win 0.06% Average Loss -0.05% Compounding Annual Return -100.000% Drawdown 27.300% Expectancy -0.286 Net Profit -27.277% Sharpe Ratio -1.472 Probabilistic Sharpe Ratio 0.000% Loss Rate 68% Win Rate 32% Profit-Loss Ratio 1.20 Alpha -1.325 Beta 0.819 Annual Standard Deviation 0.679 Annual Variance 0.462 Information Ratio -2.151 Tracking Error 0.649 Treynor Ratio -1.221 Total Fees $6497.38 Estimated Strategy Capacity $740000.00 Lowest Capacity Asset MSFT R735QTJ8XC9X Portfolio Turnover 73306.55% |
from AlgorithmImports import *
import numpy as np
class BasicAlgo(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2022, 7, 29)
self.SetEndDate(2022, 8, 3)
self.SetCash(100000)
# Define the symbol and "type" of our generic data:
self.symbol = self.AddEquity("MSFT", Resolution.Second).Symbol
self.SetBenchmark(self.symbol)
self.td = float(self.GetParameter("tick_amount"))
self.Debug('Tick amount: ' + str(self.td) + ' ')
self.window_size_p = int(float(self.GetParameter("window_size_p")))
self.window_size_n = int(float(self.GetParameter("window_size_n")))
renkoClose = ClassicRenkoConsolidator(self.td, evenBars = False)
renkoClose.DataConsolidated += self.HandleRenkoClose
self.SubscriptionManager.AddConsolidator(self.symbol, renkoClose)
self.tick_seq = []
self.postive_c = 0
self.negative_c = 0
self.close = 0
self.max = float('-inf')
self.min = float('inf')
self.tradingEnabled = False
def OnData(self, slice):
pass
def HandleRenkoClose(self, sender, data):
self.tradingEnabled = True
self.Debug(f"RENKO CLOSE - {data.Time} - {data.Open} {data.Close}")
if data.Open < data.Close:
self.tick_seq.append(1)
else:
self.tick_seq.append(-1)
if self.tradingEnabled:
if self.Portfolio.Invested:
if data.Close > self.max:
self.max = data.Close
if data.Close < self.min:
self.min = data.Close
if self.Portfolio[self.symbol].IsShort:
self.negative_c +=1
self.Debug('Negative Counter' + str(self.negative_c))
if self.tick_seq[-1] == 1 or self.negative_c == self.window_size_n :
self.SetHoldings(self.symbol, 0)
self.Debug('Short')
self.Debug('Finish')
self.Debug('Trade time: ' + str(self.Time))
self.Debug('Price ' + str(round(data.Close,3))+ ' ')
self.Debug('Min ' + str(round(self.min,3))+ ' ')
self.Debug('Max ' + str(round(self.max,3))+ ' ')
self.max = float('-inf')
self.min = float('inf')
self.negative_c = 0
if self.Portfolio[self.symbol].IsLong:
self.postive_c +=1
self.Debug('Positive Counter' + str(self.postive_c))
if self.tick_seq[-1] == -1 or self.postive_c == self.window_size_p:
self.Liquidate()
self.Debug('Long ')
self.Debug('Finish')
self.Debug('Trade time: ' + str(self.Time))
self.Debug('Price ' + str(round(data.Close,3))+ ' ')
self.Debug('Min ' + str(round(self.min,3))+ ' ')
self.Debug('Max ' + str(round(self.max,3))+ ' ')
self.max = float('-inf')
self.min = float('inf')
self.postive_c = 0
if not self.Portfolio.Invested:
if self.tick_seq[-1]==-1:
self.SetHoldings(self.symbol,-1)
self.Debug('Short')
self.Debug('Start ')
self.Debug('Trade time: ' + str(self.Time))
self.Debug('Price ' + str(round(data.Close,3))+ ' ')
self.Debug('Min 000000 ')
self.Debug('Max 000000 ')
self.negative_c = 1
if self.tick_seq[-1]==1:
self.SetHoldings(self.symbol,1)
self.Debug('Long ')
self.Debug('Start ')
self.Debug('Trade time: ' + str(self.Time))
self.Debug('Price ' + str(round(data.Close,3))+ ' ')
self.Debug('Min 000000 ')
self.Debug('Max 000000 ')
self.postive_c = 1
def OnEndOfAlgorithm(self):
self.Debug(str(self.tick_seq))
self.ExitPositions()
def ExitPositions(self):
if self.Portfolio[self.symbol].IsShort:
self.SetHoldings(self.symbol, 0)
self.Debug('Short')
self.Debug('Finish')
self.Debug('Trade time: ' + str(self.Time))
self.Debug('Price ' + str(round(self.close,3))+ ' ')
self.Debug('Min ' + str(round(self.min,3))+ ' ')
self.Debug('Max ' + str(round(self.max,3))+ ' ')
if self.Portfolio[self.symbol].IsLong:
self.Liquidate()
self.Debug('Long ')
self.Debug('Finish')
self.Debug('Trade time: ' + str(self.Time))
self.Debug('Price ' + str(round(self.close,3))+ ' ')
self.Debug('Min ' + str(round(self.min,3))+ ' ')
self.Debug('Max ' + str(round(self.max,3))+ ' ')
self.max = float('-inf')
self.min = float('inf')
class Bitstamp(PythonData):
def GetSource(self, config, date, isLiveMode):
source = " https://www.dropbox.com/scl/fi/vpj9sl8tn9is874bibi1k/DATA_PROB.csv?rlkey=2jx70njirja8kpxecxnuk23ts&dl=1"
return SubscriptionDataSource(source, SubscriptionTransportMedium.RemoteFile)
def Reader(self, config, line, date, isLiveMode):
if not line.strip():
return None
coin = Bitstamp()
coin.Symbol = config.Symbol
# Example Line Format:
# Date Open High Low Close Volume (BTC) Volume (Currency) Weighted Price
# 2011-09-13 5.8 6.0 5.65 5.97 58.37138238, 346.0973893944 5.929230648356
if not line[0].isdigit():
return None
data = line.split(',')
# If value is zero, return None
coin.Value = float(data[4])
if coin.Value == 0:
return None
coin.Time = datetime.strptime(data[0], "%Y-%m-%d %H:%M:%S")
coin["Close"] = coin.Value
return coin