Overall Statistics |
Total Trades 10 Average Win 37.67% Average Loss -5.92% Compounding Annual Return 4.609% Drawdown 20.000% Expectancy 0.472 Net Profit 14.630% Sharpe Ratio 0.395 Probabilistic Sharpe Ratio 12.312% Loss Rate 80% Win Rate 20% Profit-Loss Ratio 6.36 Alpha 0.05 Beta -0.062 Annual Standard Deviation 0.113 Annual Variance 0.013 Information Ratio -0.262 Tracking Error 0.166 Treynor Ratio -0.723 Total Fees $25.00 |
class BootCampTask(QCAlgorithm): # Order ticket for our stop order, Datetime when stop order was last hit stopMarketTicket = None stopMarketOrderFillTime = datetime.min highestSPYPrice = -1 def Initialize(self): self.SetStartDate(2015, 12, 1) self.SetEndDate(2018, 12, 10) self.SetCash(100000) spy = self.AddEquity("SPY", Resolution.Daily) spy.SetDataNormalizationMode(DataNormalizationMode.Raw) def OnData(self, data): # 1. Plot the current SPY price to "Data Chart" on series "Asset Price" self.Plot("Data Chart", "Asset Price", self.Securities["SPY"].Price) if (self.Time - self.stopMarketOrderFillTime).days < 15: return if not self.Portfolio.Invested: self.MarketOrder("SPY", 500) self.stopMarketTicket = self.StopMarketOrder("SPY", -500, 0.95 * self.Securities["SPY"].Close) else: #2. Plot the moving stop price on "Data Chart" with "Stop Price" series name self.Plot("Data Chart", "Stop Price", self.stopMarketTicket.Get(OrderField.StopPrice)) if self.Securities["SPY"].Close > self.highestSPYPrice: self.highestSPYPrice = self.Securities["SPY"].Close updateFields = UpdateOrderFields() updateFields.StopPrice = self.highestSPYPrice * 0.9 self.stopMarketTicket.Update(updateFields) def OnOrderEvent(self, orderEvent): if orderEvent.Status != OrderStatus.Filled: return if self.stopMarketTicket is not None and self.stopMarketTicket.OrderId == orderEvent.OrderId: self.stopMarketOrderFillTime = self.Time