| Overall Statistics |
|
Total Orders 629 Average Win 0.42% Average Loss -0.34% Compounding Annual Return 54.121% Drawdown 21.000% Expectancy 0.349 Start Equity 1000000 End Equity 1540602.90 Net Profit 54.060% Sharpe Ratio 1.5 Sortino Ratio 1.81 Probabilistic Sharpe Ratio 71.708% Loss Rate 40% Win Rate 60% Profit-Loss Ratio 1.24 Alpha 0.1 Beta 1.749 Annual Standard Deviation 0.217 Annual Variance 0.047 Information Ratio 1.362 Tracking Error 0.145 Treynor Ratio 0.186 Total Fees $1840.46 Estimated Strategy Capacity $9000000.00 Lowest Capacity Asset WMT R735QTJ8XC9X Portfolio Turnover 9.99% |
from datetime import timedelta
from AlgorithmImports import *
class Magnificent7IntradayStrategy(QCAlgorithm):
def initialize(self):
self.set_start_date(2023, 9, 1)
self.set_end_date(2024, 9, 1)
self.set_cash(1000000)
self.symbols = [self.add_equity(ticker, Resolution.MINUTE).symbol for ticker in ["TSLA", "AMZN", "NFLX", "AAPL", "NVDA", "GOOGL", "MSFT", "META", "AVGO","WMT"]]
self.rsi_indicators = {symbol: self.rsi(symbol, 14, MovingAverageType.WILDERS, Resolution.MINUTE) for symbol in self.symbols}
self.sma_indicators = {symbol: self.sma(symbol, 200, Resolution.MINUTE) for symbol in self.symbols}
self.schedule.on(self.date_rules.every_day(), self.time_rules.every(timedelta(minutes=15)), self.trade)
self.set_universe_selection(ManualUniverseSelectionModel(*self.symbols))
self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())
self.set_execution(ImmediateExecutionModel())
# Schedule trading hours
self.schedule.on(self.date_rules.every_day(), self.time_rules.every(timedelta(minutes=15)), self.trade)
# Risk management
self.set_risk_management(MaximumDrawdownPercentPerSecurity(0.02))
self.last_trade_date = {symbol: None for symbol in self.symbols}
self.settings.minimum_order_margin_portfolio_percentage = 0
def trade(self):
current_time = self.time
if current_time.weekday() >= 5 or not (current_time.hour == 10 and current_time.minute >= 00):
return
for symbol in self.symbols:
if not self.rsi_indicators[symbol].is_ready or not self.sma_indicators[symbol].is_ready:
continue
price = self.securities[symbol].price
rsi_value = self.rsi_indicators[symbol].current.value
sma_value = self.sma_indicators[symbol].current.value
if self.last_trade_date[symbol] == current_time.date():
continue
if rsi_value < 35 and price < sma_value:
self.set_holdings(symbol, 0.15)
self.last_trade_date[symbol] = current_time.date()
if self.portfolio[symbol].invested:
if price >= rsi_value > 80:
self.liquidate(symbol)
self.last_trade_date[symbol] = current_time.date() # Update trade date on exit