| Overall Statistics |
|
Total Trades 549 Average Win 0.12% Average Loss -0.01% Compounding Annual Return 593.304% Drawdown 29.700% Expectancy 14.085 Net Profit 262.550% Sharpe Ratio 2.678 Loss Rate 12% Win Rate 88% Profit-Loss Ratio 16.20 Alpha 1.451 Beta 0.32 Annual Standard Deviation 0.555 Annual Variance 0.308 Information Ratio 2.475 Tracking Error 0.556 Treynor Ratio 4.645 Total Fees $0.00 |
from datetime import datetime
import numpy as np
import decimal as d
from datetime import timedelta
class DualThrustAlgorithm(QCAlgorithm):
def Initialize(self):
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
self.SetStartDate(2017,01,01)
self.SetEndDate(2017,8,30)
self.SetCash(100000)
equityt = self.AddSecurity(SecurityType.Equity, "SPY", Resolution.Hour)
# equity = self.AddSecurity(SecurityType.Crypto, "BTCUSD", Resolution.Hour)
equity = self.AddCrypto("BTCUSD", Resolution.Daily)
self.syls = equity.Symbol
# schedule an event to fire every trading day for a security
# the time rule here tells it to fire when market open
# self.syl = equity.Symbol
self.syl = "BTCUSD"
# self.Schedule.On(self.DateRules.EveryDay(self.syl),self.TimeRules.AfterMarketOpen(self.syl,5),Action(self.SetSignal))
self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.Every(timedelta(minutes=10)),Action(self.SetSignal))
self.selltrig = None
self.buytrig = None
self.currentopen = None
def SetSignal(self):
"""
history = self.History(["BTCUSD",], 4, Resolution.Daily)
self.Log(str(history))
close high low open volume
symbol time
BTCUSD 2016-12-29 982.17 983.46 923.95 926.03 9792.346831
2016-12-30 970.72 988.88 950.50 982.28 8997.859016
2016-12-31 960.81 970.51 930.30 970.51 7945.763020
2017-01-01 973.26 973.37 949.00 961.52 3837.287886
"""
history = self.History(["BTCUSD",], 4, Resolution.Daily).loc["BTCUSD"]
k1 = 0.5
k2 = 0.5
self.high = history.high.values.astype(np.float32)
self.low = history.low.values.astype(np.float32)
self.close = history.close.values.astype(np.float32)
self.Log("ss-2")
# Pull the open price on each trading day
self.currentopen = float(self.Portfolio[self.syl].Price)
self.Log("ss-3")
HH, HC, LC, LL = max(self.high), max(self.close), min(self.close), min(self.low)
if HH - LC >= HC - LL:
signalrange = HH - LC
else:
signalrange = HC - LL
self.selltrig = self.currentopen - k1 * signalrange
self.buytrig = self.currentopen + k2 * signalrange
def OnData(self,data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''
self.Log("1")
holdings = self.Portfolio[self.syl].Quantity
self.Log(str(self.Portfolio[self.syl].Price))
self.Log(str(self.selltrig))
self.Log("3")
if self.Portfolio[self.syl].Price >= self.selltrig:
if holdings >= 0:
self.SetHoldings(self.syl, 0.8)
else:
self.Liquidate(self.syl)
self.SetHoldings(self.syl, 0.8)
elif self.Portfolio[self.syl].Price < self.selltrig:
if holdings >= 0:
self.Liquidate(self.syl)
self.SetHoldings(self.syl, -0.8)
else:
self.SetHoldings(self.syl, -0.8)
self.Log("3")
self.Log("open: "+ str(self.currentopen)+" buy: "+str(self.buytrig)+" sell: "+str(self.selltrig))