| Overall Statistics |
|
Total Trades 4951 Average Win 0.21% Average Loss -0.77% Compounding Annual Return -2.589% Drawdown 36.000% Expectancy -0.013 Net Profit -25.201% Sharpe Ratio -0.313 Probabilistic Sharpe Ratio 0.000% Loss Rate 22% Win Rate 78% Profit-Loss Ratio 0.27 Alpha -0.018 Beta -0.012 Annual Standard Deviation 0.061 Annual Variance 0.004 Information Ratio -0.856 Tracking Error 0.168 Treynor Ratio 1.561 Total Fees $0.00 |
import numpy as np
import pandas as pd
from collections import *
# Reproduce RSI Delta strategy: https://medium.com/swlh/the-rsi-delta-indicator-enhancing-momentum-trading-c1d7ca03a8f8
# AUDCAD
# Resolution.Hour
# 2010-2020
# Delta RSI(5, 3)
# ATR(50)
# 40
# stopProfitPrice = price * (1 + (1 *atr))
# stopLossPrice = price * (1 - (4 * atr))
class ForexAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2010, 1, 1)
self.SetCash(100000)
# update prices every minute
self.resolution = Resolution.Hour
self.ticker = "AUDNZD"
self.AddForex(self.ticker, self.resolution, Market.FXCM)
self.daysInHistory = 10
self.atr = self.ATR(self.ticker, 50, self.resolution)
self.rsi = self.RSI(self.ticker, MovingAverageType.Exponential, 5, self.resolution)
self.history = deque(maxlen=self.daysInHistory)
def OnData(self, data):
if data.ContainsKey(self.ticker):
self.history.append(self.rsi.Current.Value)
price = data[self.ticker].Price
if self.Portfolio.Invested:
exit = False
if self.long == 1:
if self.stopProfitPrice <= price:
exit = True
if self.stopLossPrice >= price:
exit = True
else:
if self.stopProfitPrice >= price:
exit = True
if self.stopLossPrice <= price:
exit = True
if exit:
self.SetHoldings(self.ticker, 0)
else:
if len(self.history) >= self.daysInHistory:
# history is ready
enter = False
limit = 40
rsiCurrent = pd.DataFrame(np.array(self.history))
rsiDelta = rsiCurrent - rsiCurrent.shift(3)
rsiDelta = rsiDelta.values
if rsiDelta[-1] > limit and rsiDelta[-2] < limit and rsiDelta[-3] < limit:
enter = True
self.long = -1
elif rsiDelta[-1] < -limit and rsiDelta[-2] > -limit and rsiDelta[-3] > -limit:
enter = True
self.long = 1
if enter:
self.stopProfitPrice = price * (1 + self.long * (1 * self.atr.Current.Value))
self.stopLossPrice = price * (1 - self.long * (4 * self.atr.Current.Value))
self.SetHoldings(self.ticker, self.long)
def OnEndOfAlgorithm(self):
self.Liquidate()