| Overall Statistics |
|
Total Trades 382 Average Win 0.67% Average Loss -0.47% Compounding Annual Return 13.295% Drawdown 11.600% Expectancy 0.485 Net Profit 61.665% Sharpe Ratio 1.064 Probabilistic Sharpe Ratio 51.556% Loss Rate 39% Win Rate 61% Profit-Loss Ratio 1.43 Alpha 0.041 Beta 0.392 Annual Standard Deviation 0.089 Annual Variance 0.008 Information Ratio -0.353 Tracking Error 0.12 Treynor Ratio 0.241 Total Fees $1109.31 Estimated Strategy Capacity $23000000.00 Lowest Capacity Asset BND TRO5ZARLX6JP |
# Price - Moving Average(4 Hour bar) Cross
# -----------------------------------
STOCK = "SPY"; BOND = "BND"; MA = 20;
# -----------------------------------
class PMAC_FourHourBar(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2018, 1, 1)
self.SetEndDate(2021, 11, 5)
self.SetCash(100000)
self.stock = self.AddEquity(STOCK, Resolution.Hour).Symbol
self.bond = self.AddEquity(BOND, Resolution.Hour).Symbol
consolidator = TradeBarConsolidator(timedelta(hours = 4))
self.SubscriptionManager.AddConsolidator(self.stock, consolidator)
self.sma = SimpleMovingAverage(MA)
self.RegisterIndicator(self.stock, self.sma, consolidator)
self.SetWarmUp(MA, Resolution.Hour)
self.uptrend = 0
def OnData(self, data):
if not(self.Time.time() == time(10) or self.Time.time() == time(14)): return
if self.IsWarmingUp:return
if not self.sma.IsReady or self.stock not in data or self.bond not in data:
return
if data[self.stock].Price >= self.sma.Current.Value and not self.uptrend:
self.SetHoldings(self.stock, 0.8)
self.SetHoldings(self.bond, 0.2)
self.uptrend = 1
elif data[self.stock].Price < self.sma.Current.Value and self.uptrend:
self.SetHoldings(self.stock, 0.2)
self.SetHoldings(self.bond, 0.8)
self.uptrend = 0
self.Plot("Benchmark", "SMA", self.sma.Current.Value)