Overall Statistics |
Total Trades 36 Average Win 0.14% Average Loss -0.10% Compounding Annual Return -8.672% Drawdown 1.200% Expectancy -0.480 Net Profit -0.890% Sharpe Ratio -3.545 Probabilistic Sharpe Ratio 1.817% Loss Rate 78% Win Rate 22% Profit-Loss Ratio 1.34 Alpha -0.06 Beta -0.04 Annual Standard Deviation 0.02 Annual Variance 0 Information Ratio -4.24 Tracking Error 0.078 Treynor Ratio 1.754 Total Fees $0.00 Estimated Strategy Capacity $6500000.00 Lowest Capacity Asset EURNZD 8G |
class HyperActiveApricotFalcon(QCAlgorithm): def Initialize(self): #General Information self.SetStartDate(2021, 7, 27) self.SetEndDate(2021, 8, 31) self.SetCash(100000) self.pair = 'EURNZD' self.forex = self.AddForex(self.pair, Resolution.Minute, Market.Oanda).Symbol self.quantity = 100000 # Set Take Profit and Stop Loss Here self.tp = 0.002 self.sl = 0.0015 # Long / Short - True = Live self.Long = True self.Short = False # Set number of open positions allowed at a time self.numtrades = 10 ''' Takeprofit and stoploss not working ''' self.takeprofit = [] self.stoploss = [] self.numshares = [] self.takeprofitpos = {} self.stoplosspos = {} # Indicators self.rsi = RelativeStrengthIndex(14, MovingAverageType.Wilders) self.macdfiveminute = MovingAverageConvergenceDivergence(12, 26, 9, MovingAverageType.Exponential) self.macdonehour = self.MACD(self.forex, 12, 26, 9, MovingAverageType.Exponential, Resolution.Hour) self.atr = AverageTrueRange(14, MovingAverageType.Wilders) self.emafast = ExponentialMovingAverage(9) self.emaslow = ExponentialMovingAverage(50) # One Hour Consolidator and Indicator Registrations oneHourConsolidator = QuoteBarConsolidator(timedelta(minutes=60)) oneHourConsolidator.DataConsolidated += self.OneHourBarHandler self.SubscriptionManager.AddConsolidator(self.pair, oneHourConsolidator) # self.RegisterIndicator(self.pair, self.macdonehour, oneHourConsolidator) # Five Minute Consolidator and Indicator Registrations fiveMinuteConsolidator = QuoteBarConsolidator(timedelta(minutes=5)) fiveMinuteConsolidator.DataConsolidated += self.FiveMinuteBarHandler self.SubscriptionManager.AddConsolidator(self.pair, fiveMinuteConsolidator) self.RegisterIndicator(self.pair, self.rsi, fiveMinuteConsolidator) self.RegisterIndicator(self.pair, self.atr, fiveMinuteConsolidator) self.RegisterIndicator(self.pair, self.macdfiveminute, fiveMinuteConsolidator) self.RegisterIndicator(self.pair, self.emafast, fiveMinuteConsolidator) self.RegisterIndicator(self.pair, self.emaslow, fiveMinuteConsolidator) self.macdLastHourWindow = RollingWindow[float](2) self.macdHourSignal = RollingWindow[float](2) self.Schedule.On(self.DateRules.Every(DayOfWeek.Friday), self.TimeRules.BeforeMarketClose(self.pair), self.WeekendLiquidation) self.fiveminbaropen = 0 self.SetWarmUp(50) self.lastfiveminutemacdvalues = [] self.lastonehourmacdvalues = [] self.removekeys = [] self.counter = 0 self.tpsl = {} self.macdLastFiveBar = None self.SLTicket = None self.TPTicket = None self.entryTicket = None def OneHourBarHandler(self, sender, consolidated): self.macdLastHourWindow.Add(self.macdonehour.Current.Value) self.macdHourSignal.Add(self.macdonehour.Signal.Current.Value) def FiveMinuteBarHandler(self, sender, consolidated): if not self.macdonehour.IsReady: return if self.macdLastFiveBar == None or self.macdLastHourWindow.Count <= 1: self.macdLastFiveBar = self.macdfiveminute.Current.Value return Close = (consolidated.Bid.Close+consolidated.Ask.Close)/2 Open = (consolidated.Bid.Open+consolidated.Ask.Open)/2 Low = (consolidated.Bid.Low+consolidated.Ask.Low)/2 High = (consolidated.Bid.High+consolidated.Ask.High)/2 Price = consolidated.Price # Limit number of open trades if len(self.tpsl) >= self.numtrades: return emaFast = self.emafast.Current.Value emaSlow = self.emaslow.Current.Value rsiValue = self.rsi.Current.Value macdFive = self.macdfiveminute.Current.Value # Entry Long if self.Long and Close > emaFast and Open > emaFast and Close < Open and emaSlow < emaFast and rsiValue < 63 and rsiValue > 55: self.GoLong(Close) # Entry Short elif self.Short and Close < emaFast and Open < emaFast and Close > Open and emaSlow > emaFast and rsiValue > 38 and rsiValue < 45: self.GoShort(Close) # Record MACD values to compare at next datapoint self.macdLastFiveBar = self.macdfiveminute.Current.Value def GoLong(self, Close): FiveMACDdifference = self.macdfiveminute.Current.Value - self.macdfiveminute.Signal.Current.Value HourMACDdifference = self.macdLastHourWindow[0] - self.macdHourSignal[0] if self.entryTicket == None and self.macdfiveminute.Current.Value > .00005 and self.macdfiveminute.Current.Value > self.macdLastFiveBar and self.macdLastHourWindow[0] > self.macdLastHourWindow[self.macdLastHourWindow.Count-1] and self.atr.Current.Value > .00025 and self.macdfiveminute.Current.Value - self.macdfiveminute.Signal.Current.Value > 0 and self.macdLastHourWindow[0] - self.macdHourSignal[0] > -.0001: self.MadeEntry() self.BuyPrice = Close self.SLPrice = self.BuyPrice - .0015 self.TPPrice = self.BuyPrice + .002 self.entryTicket = self.LimitOrder(self.pair, self.quantity, self.BuyPrice, str(self.macdfiveminute.Current.Value) + " " + str(self.macdLastFiveBar)) self.Debug(f"1 Hour MACD Difference : {HourMACDdifference}" + " " + str(self.Time)) self.Debug(f"1 Hour MACD Value : {self.macdonehour.Current.Value}") self.Debug(f"1 Hour MACD Signal : {self.macdonehour.Signal.Current.Value}") self.Debug(f"1 Hour MACD Previous : {self.macdLastHourWindow[self.macdLastHourWindow.Count-1]}") # Enter stop loss order self.SLTicket = self.StopMarketOrder( self.pair, -self.quantity, self.SLPrice, "SLTicket") # Enter limit order self.TPTicket = self.LimitOrder( self.pair, -self.quantity, self.TPPrice, "TPTicket") else: self.NoEntry() def GoShort(self, Close): FiveMACDdifference = self.macdfiveminute.Current.Value - self.macdfiveminute.Signal.Current.Value HourMACDdifference = self.macdonehour.Current.Value - self.macdonehour.Signal.Current.Value if self.macdfiveminute.Current.Value < -.00005: # MACD Current > MACD 1 Bar Ago ( 5 minute and 1 hour ) if self.macdfiveminute.Current.Value < self.macdLastFiveBar and self.macdonehour.Current.Value < self.macdLastHourWindow[self.macdLastHourWindow.Count-1]: # ATR > .00025 if self.atr.Current.Value > .00025: # MACD Difference < 0 ( 5 minute and 1 hour ) if self.macdfiveminute.Current.Value - self.macdfiveminute.Signal.Current.Value < 0 and self.macdonehour.Current.Value - self.macdonehour.Signal.Current.Value < 0: self.BuyPrice = Close self.SLPrice = self.BuyPrice + .0015 self.TPPrice = self.BuyPrice - .002 self.entryTicket = self.LimitOrder(self.pair, -self.quantity, self.BuyPrice, str(self.macdfiveminute.Current.Value) + " " + str(self.macdLastFiveBar)) self.Debug(f"1 Hour MACD Difference : {HourMACDdifference}") self.Debug(f"1 Hour MACD Value : {self.macdonehour.Current.Value}") self.Debug(f"1 Hour MACD Signal : {self.macdonehour.Signal.Current.Value}") self.Debug(f"1 Hour MACD Previous : {self.macdLastHourWindow[self.macdLastHourWindow.Count-1]}") # Enter stop loss order self.SLTicket = self.StopMarketOrder( self.pair, self.quantity, self.SLPrice) # Enter limit order self.TPTicket = self.LimitOrder( self.pair, self.quantity, self.TPPrice) def WeekendLiquidation(self): self.Liquidate() self.tpsl = {} def MadeEntry(self): self.Debug("ENTRY APPROVED ON " + str(self.Time)) FiveMACDdifference = self.macdfiveminute.Current.Value - self.macdfiveminute.Signal.Current.Value self.Debug(f"5 Min MACD Difference : {FiveMACDdifference}") self.Debug(f"5 Min MACD Value : {self.macdfiveminute.Current.Value}") self.Debug(f"5 Min MACD Signal : {self.macdfiveminute.Signal.Current.Value}") def NoEntry(self): self.Debug("NO ENTRY ON " + str(self.Time) + ". ENTRY TICKET " + str(self.entryTicket)) FiveMACDdifference = self.macdfiveminute.Current.Value - self.macdfiveminute.Signal.Current.Value self.Debug(f"5 Min MACD Difference : {FiveMACDdifference}") self.Debug(f"5 Min MACD Value : {self.macdfiveminute.Current.Value}") self.Debug(f"5 Min MACD Signal : {self.macdfiveminute.Signal.Current.Value}") HourMACDdifference = self.macdonehour.Current.Value - self.macdonehour.Signal.Current.Value self.Debug(f"1 Hour MACD Difference : {HourMACDdifference}") self.Debug(f"1 Hour MACD Value : {self.macdonehour.Current.Value}") self.Debug(f"1 Hour MACD Signal : {self.macdonehour.Signal.Current.Value}") self.Debug(f"1 Hour MACD Previous : {self.macdLastHourWindow[self.macdLastHourWindow.Count-1]}") def OnOrderEvent(self, orderEvent): if orderEvent.Status != OrderStatus.Filled: return order = self.Transactions.GetOrderById(orderEvent.OrderId) self.asd = self.SLTicket if self.SLTicket == None: return a = self.SLTicket b = orderEvent.OrderId c = self.SLTicket.OrderId d = self.Portfolio[orderEvent.Symbol].Invested if self.SLTicket != None and orderEvent.OrderId == self.SLTicket.OrderId: self.SLTicket.Cancel() self.TPTicket.Cancel() self.SLTicket = None self.TPTicket = None self.entryTicket = None elif self.TPTicket != None and orderEvent.OrderId == self.TPTicket.OrderId: self.SLTicket.Cancel() self.TPTicket.Cancel() self.SLTicket = None self.TPTicket = None self.entryTicket = None def Cancel(self, id): '''cancel one order if the other was filled''' if self.TPTicket is not None and id == self.TPTicket.OrderId: self.stopLoss.Cancel() elif self.SLTicket is not None and id == self.SLTicket.OrderId: self.takeProfit.Cancel() else: return self.TPTicket = None self.SLTicket = None self.entryTicket = None