| Overall Statistics |
|
Total Trades 51 Average Win 0.83% Average Loss -0.62% Compounding Annual Return 6.123% Drawdown 4.000% Expectancy 0.396 Net Profit 6.275% Sharpe Ratio 1.093 Probabilistic Sharpe Ratio 52.305% Loss Rate 40% Win Rate 60% Profit-Loss Ratio 1.33 Alpha -0.047 Beta 0.267 Annual Standard Deviation 0.058 Annual Variance 0.003 Information Ratio -2.721 Tracking Error 0.129 Treynor Ratio 0.237 Total Fees $51.00 Estimated Strategy Capacity $310000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
class BasicTemplateAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020,6,1)
self.SetCash(4000)
self.Equities = ["SPY","AMC","GME","SENS","AMSC","SNDL","HARP","EH","LOOP","QFIB","IDT",
"BB","BTX","RCON","BGFV","SBOW","EDRY","BBW","CELH","DDS","RRD",
"NOTV","UAN","JYNT","RFP","LOVE","NTP","RICK","SI","CMBM","CTRN",
"BNTX","TGLS","TGB","HYRE","BCRX","AVID","BBIG","WINT","DOCU"]
self.SetWarmUp(30)
for stock in self.Equities:
self.AddEquity(stock, Resolution.Hour).Symbol
self.rsi = self.RSI(stock, 14, Resolution.Daily)
self.macd = self.MACD(stock, 12, 26, 9, Resolution.Daily)
self.Schedule.On(self.DateRules.EveryDay(self.Equities[0]), self.TimeRules.AfterMarketOpen(self.Equities[0], 31),
self.EveryDayAfterMarketOpen)
def EveryDayAfterMarketOpen(self):
if self.IsWarmingUp: return
for sec in self.Equities:
Vested = self.Portfolio.Invested
Aveprica = self.Portfolio[sec].AveragePrice
Nowprica = self.Portfolio[sec].Price
Quantity = self.Portfolio[sec].Quantity
Bpower = self.Portfolio.Cash
Rsi = self.rsi.Current.Value
Macd =self.macd.Current.Value
#The perfect Swing set up is Adx > 20 and Rsi > 60 and Macd > 0 and Cci > 100:
if not Vested and Bpower > Nowprica and Rsi > 60 and Macd > 0:
self.MarketOrder(sec, 5)
# self.Log(Aveprica)
elif Vested and Rsi < 30 and Macd < 0:
self.SetHoldings(sec, 0)
else:
pass