Overall Statistics |
Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio -6.316 Tracking Error 0.087 Treynor Ratio 0 Total Fees $0.00 |
class OnInOut(QCAlgorithm): def Initialize(self): self.MinsAfterOpen = 30 self.RsiDays = 24 self.SmaDays = 14 self.PpoSlowDays = 14 self.PpoFastDays = 10 self.SetStartDate(2020, 1, 1) self.SetEndDate(2020,1,14) self.StartCash = 100000 self.SetCash(self.StartCash) # ------------------------------------------- Defining Tickers and collection Indicators ----------------------------- self.tickers = ["QQQ","TLT"] self.TickerTable = {} for ticker in self.tickers: # Problem 2 ---------------- Change Hour to Minute and ceck results self.AddEquity(ticker, Resolution.Hour) rsi = self.RSI(ticker, self.RsiDays, Resolution.Daily) sma = self.SMA(ticker, self.SmaDays, Resolution.Daily) rcShort = self.RC(ticker,self.SmaDays, Resolution.Daily) ppo = self.PPO(ticker, self.PpoFastDays, self.PpoSlowDays, MovingAverageType.Simple, Resolution.Daily) symbolData = SymbolData(ticker, rsi, sma, rcShort, ppo) self.TickerTable[ticker] = symbolData # problem 1 ----------------------- Change 30 mins to 90 mins and check indicator results self.Schedule.On(self.DateRules.EveryDay("QQQ"),self.TimeRules.AfterMarketOpen("QQQ",30), self.Trade) self.SetWarmUp(timedelta(days=30)) # ------------------------------------------------- On Data ----------------------------------------------------- def OnData(self, data): pass # ---------------------------------------------- Trade Function -------------------------------------------------- def Trade(self): self.QQQ_RSI = self.TickerTable["QQQ"].Rsi.Current.Value self.QQQ_PPO = self.TickerTable["QQQ"].Ppo.Current.Value self.QQQ_SMA = self.TickerTable["QQQ"].Sma.Current.Value self.QQQ_SLOPE = self.TickerTable["QQQ"].RcShort.Slope.Current.Value self.Debug(f"{self.Time} PPO:{round(self.QQQ_PPO,2)} Slope:{round(self.QQQ_SLOPE,2)} RSI:{round(self.QQQ_RSI,2)} ") # ------------------------------------------- SymbolData -------------------------------------------------- class SymbolData: def __init__(self, symbol, rsi, sma, rcShort, ppo): self.Symbol = symbol self.Rsi = rsi self.Sma = sma self.RcShort = rcShort self.Ppo = ppo