Overall Statistics |
Total Trades 45 Average Win 5.64% Average Loss -4.48% Compounding Annual Return 52.163% Drawdown 17.900% Expectancy 0.334 Net Profit 37.194% Sharpe Ratio 1.191 Probabilistic Sharpe Ratio 55.422% Loss Rate 41% Win Rate 59% Profit-Loss Ratio 1.26 Alpha 0.243 Beta 1.315 Annual Standard Deviation 0.299 Annual Variance 0.089 Information Ratio 1.027 Tracking Error 0.263 Treynor Ratio 0.271 Total Fees $45.00 Estimated Strategy Capacity $180000000.00 Lowest Capacity Asset GOOCV VP83T1ZUHROL Portfolio Turnover 13.55% |
# region imports from AlgorithmImports import * class ROCMomentumAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2023,1,1) # Set Start Date self.SetCash(1000) # Set Strategy Cash self.lastSellTime = datetime.min self.AddRiskManagement(TrailingStopRiskManagementModel(0.05)) # Dictionary to store buy prices self.buy_prices = {} # Add Equity individually self.SPY = self.AddEquity("SPY", Resolution.Daily).Symbol # SPY self.equity1 = self.AddEquity("AAPL", Resolution.Daily).Symbol # Apple self.equity2 = self.AddEquity("MSFT", Resolution.Daily).Symbol # Microsoft self.equity3 = self.AddEquity("AMZN", Resolution.Daily).Symbol # Amazon self.equity4 = self.AddEquity("NVDA", Resolution.Daily).Symbol # NVIDIA self.equity5 = self.AddEquity("TSLA", Resolution.Daily).Symbol # Tesla self.equity6 = self.AddEquity("GOOGL", Resolution.Daily).Symbol # Alphabet Class A self.equity7 = self.AddEquity("META", Resolution.Daily).Symbol # Meta self.equity8 = self.AddEquity("GOOG", Resolution.Daily).Symbol # Alphabet Class C self.equity9 = self.AddEquity("AVGO", Resolution.Daily).Symbol # Broadcom self.equity10 = self.AddEquity("ORCL", Resolution.Daily).Symbol # Oracle self.equities = [self.equity1, self.equity2, self.equity3, self.equity4, self.equity5, self.equity6, self.equity7, self.equity8, self.equity9, self.equity10] self.uup = self.AddEquity("UUP", Resolution.Daily).Symbol # PowerShares DB US Dollar Index Bullish Fund self.tlt = self.AddEquity("TLT", Resolution.Daily).Symbol # iShares 20+ Year Treasury Bond ETF self.gld = self.AddEquity("GLD", Resolution.Daily).Symbol # SPDR Gold Trust ETF # Define Bollinger Band for each symbol with 20 periods and 2 standard deviation self.bbands_equities = {symbol: self.BB(symbol, 55, 2, MovingAverageType.Simple, Resolution.Daily) for symbol in self.equities} # define our daily roc(50) indicators for each symbol self.roc_equities = {symbol: self.ROC(symbol, 55, Resolution.Daily) for symbol in self.equities} self.roc_uup = self.ROC(self.uup, 55, Resolution.Daily) self.roc_tlt = self.ROC(self.tlt, 55, Resolution.Daily) self.roc_gld = self.ROC(self.gld, 55, Resolution.Daily) # define a rolling window for the ROC for each symbol self.window_equities = {symbol: RollingWindow[IndicatorDataPoint](55) for symbol in self.equities} self.window_uup = RollingWindow[IndicatorDataPoint](55) self.window_tlt = RollingWindow[IndicatorDataPoint](55) self.window_gld = RollingWindow[IndicatorDataPoint](55) # Set warm-up period for 50 bars self.SetWarmUp(55) self.SetBenchmark(self.SPY) # initialize flag for stop loss triggered self.stop_loss_triggered = False self.previous_closes = {symbol: RollingWindow[float](2) for symbol in self.equities} def OnOrderEvent(self, orderEvent): if orderEvent.Status == OrderStatus.Filled: order = self.Transactions.GetOrderById(orderEvent.OrderId) if order.Type == OrderType.StopMarket or order.Direction == OrderDirection.Sell: self.stop_loss_triggered = True self.lastSellTime = self.Time # Record the time of the last sell # Update buy price for the purchased asset if order.Direction == OrderDirection.Buy: self.buy_prices[order.Symbol] = orderEvent.FillPrice def OnData(self, data): # Check if we are still warming up if self.IsWarmingUp: return if self.Time - self.lastSellTime < timedelta(days=1): return if not (all(roc.IsReady for roc in self.roc_equities.values()) and all(data.ContainsKey(symbol) for symbol in self.equities) and self.roc_uup.IsReady and self.roc_tlt.IsReady and self.roc_gld.IsReady and data.ContainsKey(self.uup) and data.ContainsKey(self.tlt) and data.ContainsKey(self.gld)): return # Check the Bollinger Bands and ROC conditions for symbol in self.equities: current_price = self.Securities[symbol].Close lower_band = self.bbands_equities[symbol].LowerBand.Current.Value middle_band = self.bbands_equities[symbol].MiddleBand.Current.Value upper_band = self.bbands_equities[symbol].UpperBand.Current.Value current_roc = self.roc_equities[symbol].Current.Value # Store the current price for the symbol self.previous_closes[symbol].Add(current_price) if self.previous_closes[symbol].Count < 2: continue prev_close = self.previous_closes[symbol][1] # Tagging the values for better visibility tag_message = f"Prev Close: {prev_close}, Current Price: {current_price}, Lower Band: {lower_band}, Middle Band: {middle_band}, Upper Band: {upper_band}, ROC: {current_roc}" # Buy conditions if (prev_close <= lower_band and current_price > middle_band) and current_roc > 0: if not self.Portfolio[symbol].Invested: self.SetHoldings(symbol, 0.95, tag_message) # Explicit profit-taking mechanism if self.Portfolio[symbol].Invested: if current_price >= 1.05 * self.buy_prices.get(symbol, 0): self.Liquidate(symbol, f"Take profit, {tag_message}") roc_uup = self.roc_uup.Current.Value roc_tlt = self.roc_tlt.Current.Value # buying logic for equity if any(roc.Current.Value > 0 for roc in self.roc_equities.values()): max_roc_symbol = max(self.roc_equities, key=lambda symbol: self.roc_equities[symbol].Current.Value) tag_message1 = self.get_tag_message(max_roc_symbol) if self.Portfolio.Invested: return if self.Portfolio[max_roc_symbol].Invested and not self.stop_loss_triggered: return if not self.Portfolio[max_roc_symbol].Invested: orderTickets = self.Liquidate() for ticket in orderTickets: ticket.UpdateTag(f"Liquidate for new max ROC") quantity = self.CalculateOrderQuantity(max_roc_symbol, 0.95) orderTicket = self.MarketOrder(max_roc_symbol, quantity) orderTicket.UpdateTag(f"Buy with max ROC, {tag_message1}") self.stop_loss_triggered = False elif all(roc.Current.Value < 0 for roc in self.roc_equities.values()): orderTickets = self.Liquidate() for ticket in orderTickets: ticket.UpdateTag(f"Negative ROC for all equities") if not self.Portfolio.Invested: target_symbol, tag_message = None, "" if roc_uup > 0 and roc_tlt > 0: target_symbol = self.uup if roc_uup > roc_tlt else self.tlt tag_message = f"Buy UUP, ROC: {roc_uup}" if roc_uup > roc_tlt else f"Buy TLT, ROC: {roc_tlt}" elif roc_uup < 0 and roc_tlt > 0: target_symbol = self.tlt tag_message = f"Buy TLT, ROC: {roc_tlt}" elif roc_uup > 0 and roc_tlt < 0: target_symbol = self.uup tag_message = f"Buy UUP, ROC: {roc_uup}" else: target_symbol = self.gld tag_message = "Buy GLD" quantity = self.CalculateOrderQuantity(target_symbol, 0.95) orderTicket = self.MarketOrder(target_symbol, quantity) orderTicket.UpdateTag(tag_message) if any(roc.Current.Value > 0 for roc in self.roc_equities.values()): orderTicket = self.MarketOrder(self.uup, -self.Portfolio[self.uup].Quantity) orderTicket.UpdateTag(f"Liquidate UUP, ROC: {roc_uup}") orderTicket = self.MarketOrder(self.tlt, -self.Portfolio[self.tlt].Quantity) orderTicket.UpdateTag(f"Liquidate TLT, ROC: {roc_tlt}") orderTicket = self.MarketOrder(self.gld, -self.Portfolio[self.gld].Quantity) orderTicket.UpdateTag("Liquidate GLD") def get_tag_message(self, symbol): prev_close = self.previous_closes[symbol][1] if self.previous_closes[symbol].Count >= 2 else None current_price = self.Securities[symbol].Close lower_band = self.bbands_equities[symbol].LowerBand.Current.Value middle_band = self.bbands_equities[symbol].MiddleBand.Current.Value upper_band = self.bbands_equities[symbol].UpperBand.Current.Value current_roc = self.roc_equities[symbol].Current.Value return f"Prev Close: {prev_close}, Current Price: {current_price}, Lower Band: {lower_band}, Middle Band: {middle_band}, Upper Band: {upper_band}, ROC: {current_roc}"