| Overall Statistics |
|
Total Trades 421 Average Win 1.25% Average Loss -0.81% Compounding Annual Return 14.181% Drawdown 11.100% Expectancy 0.368 Net Profit 94.149% Sharpe Ratio 1.062 Probabilistic Sharpe Ratio 51.318% Loss Rate 46% Win Rate 54% Profit-Loss Ratio 1.54 Alpha 0.071 Beta 0.246 Annual Standard Deviation 0.095 Annual Variance 0.009 Information Ratio -0.151 Tracking Error 0.149 Treynor Ratio 0.41 Total Fees $17149.48 Estimated Strategy Capacity $280000000.00 Lowest Capacity Asset IEF SGNKIKYGE9NP |
# Trading ATR with Indicator Extensions Delay
# ------------------------------------------------------
STOCK = 'SPY'; BOND = 'IEF'; ATR_PERIOD = 10; DELAY = 4;
# ------------------------------------------------------
class ATRconfirmation(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2017, 3, 26)
self.SetEndDate(2022, 3, 25)
self.SetCash(1000000)
self.stock = self.AddEquity(STOCK, Resolution.Daily).Symbol
self.bond = self.AddEquity(BOND, Resolution.Daily).Symbol
self.SetWarmUp(ATR_PERIOD + 1, Resolution.Daily)
self.atr = self.ATR(self.stock, ATR_PERIOD, Resolution.Daily)
self.delayed_atr = IndicatorExtensions.Of(Delay(DELAY), self.atr)
def OnData(self, data):
if self.IsWarmingUp or not self.delayed_atr.IsReady: return
if not self.Portfolio[self.stock].Invested:
if self.atr.Current.Value <= self.delayed_atr.Current.Value:
self.SetHoldings(self.stock, 1.0)
self.SetHoldings(self.bond, 0)
elif self.Portfolio[self.stock].Invested:
if self.atr.Current.Value > self.delayed_atr.Current.Value:
self.SetHoldings(self.stock, 0)
self.SetHoldings(self.bond, 1.0)