| Overall Statistics |
|
Total Trades 8 Average Win 6.86% Average Loss -1.69% Compounding Annual Return 8.021% Drawdown 8.800% Expectancy 1.525 Net Profit 10.118% Sharpe Ratio 0.62 Probabilistic Sharpe Ratio 29.879% Loss Rate 50% Win Rate 50% Profit-Loss Ratio 4.05 Alpha -0.024 Beta 0.636 Annual Standard Deviation 0.096 Annual Variance 0.009 Information Ratio -1.005 Tracking Error 0.071 Treynor Ratio 0.094 Total Fees $9.41 Estimated Strategy Capacity $1800000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
#region imports
from AlgorithmImports import *
#endregion
class TrailingStopLoss(QCAlgorithm):
def Initialize(self):
startingCash = 100000
self.SetCash(startingCash) # Set Strategy Cash
self.SetStartDate(2021, 1, 1)
self.SetEndDate(2022, 4, 1)
symbol = "SPY"
self.symbol = self.AddEquity(symbol, Resolution.Daily).Symbol
self.tli = self.AddData(TLI, "tli", Resolution.Daily).Symbol
self.longEntryThreshhold = 0.15
self.shortEntryThreshhold = -0.15
self.longAllocation = 1 # 100% long
self.shortAllocation = -1 # 100% short
self.entryTicketLong = None
self.stopMarketTicketLong = None
self.entryTicketShort = None
self.stopMarketTicketShort = None
self.entryTime = datetime.min
self.stopMarketOrderFillTime = datetime.min
self.highestPrice = 0
self.lowestPrice = 0
def OnData(self, data):
if self.tli not in data:
return
# wait 30 days after last exit
if (self.Time - self.stopMarketOrderFillTime).days < 2:
return
price = self.Securities[self.symbol].Price
# send long entry limit order
if not self.Portfolio.Invested and not self.Transactions.GetOpenOrders(self.symbol):
if data[self.tli].Value > self.longEntryThreshhold:
quantity = self.CalculateOrderQuantity(self.symbol, 0.9)
self.entryTicketLong = self.LimitOrder(self.symbol, quantity, price, "Entry Order Long, TLI: " + str(data[self.tli].Value)
+ " TLI_time" +str(data[self.tli].Time))
self.entryTime = self.Time
# send short entry limit order
if data[self.tli].Value < self.shortEntryThreshhold:
quantity = self.CalculateOrderQuantity(self.symbol, 0.9)
self.entryTicketShort = self.LimitOrder(self.symbol, -quantity, price, "Entry Order short, TLI: " + str(data[self.tli].Value)
+ " TLI_time" +str(data[self.tli].Time))
self.entryTime = self.Time
# move long limit price if not filled after 1 day
if (self.Time - self.entryTime).days > 1 and (self.entryTicketLong is not None) and self.entryTicketLong.Status != OrderStatus.Filled:
self.entryTime = self.Time
updateFields = UpdateOrderFields()
updateFields.LimitPrice = price
self.entryTicketLong.Update(updateFields)
# move Short limit price if not filled after 1 day
if (self.Time - self.entryTime).days > 1 and (self.entryTicketShort is not None) and self.entryTicketShort.Status != OrderStatus.Filled:
self.entryTime = self.Time
updateFields = UpdateOrderFields()
updateFields.LimitPrice = price
self.entryTicketShort.Update(updateFields)
# move long stop limit
if self.stopMarketTicketLong is not None and self.Portfolio.Invested:
# move up trailing stop price
if price > self.highestPrice:
self.highestPrice = price
updateFields = UpdateOrderFields()
updateFields.StopPrice = price * 0.95
self.stopMarketTicketLong.Update(updateFields)
#self.Debug(updateFields.StopPrice)
# move short stop limit
if self.stopMarketTicketShort is not None and self.Portfolio.Invested:
# move down trailing stop price
if price < self.lowestPrice:
self.lowestPrice = price
updateFields = UpdateOrderFields()
updateFields.StopPrice = price * 1.05
self.stopMarketTicketShort.Update(updateFields)
#self.Debug(updateFields.StopPrice)
def OnOrderEvent(self, orderEvent):
if orderEvent.Status != OrderStatus.Filled:
return
# send long stop loss order if entry limit order is filled
if self.entryTicketLong is not None and self.entryTicketLong.OrderId == orderEvent.OrderId:
self.stopMarketTicketLong = self.StopMarketOrder(self.symbol, -self.entryTicketLong.Quantity, 0.95 * self.entryTicketLong.AverageFillPrice)
# send Short stop loss order if entry limit order is filled
if self.entryTicketShort is not None and self.entryTicketShort.OrderId == orderEvent.OrderId:
self.stopMarketTicketShort = self.StopMarketOrder(self.symbol, self.entryTicketShort.Quantity, 1.05 * self.entryTicketShort.AverageFillPrice)
# save fill time of Long stop loss order (and reset highestPrice lowestPrice)
if (self.stopMarketTicketLong is not None) and (self.stopMarketTicketLong.OrderId == orderEvent.OrderId):
self.stopMarketOrderFillTime = self.Time
self.highestPrice = 0
self.lowestPrice = 0
# save fill time of short stop loss order (and reset highestPrice lowestPrice)
if (self.stopMarketTicketShort is not None) and (self.stopMarketTicketShort.OrderId == orderEvent.OrderId):
self.stopMarketOrderFillTime = self.Time
self.highestPrice = 0
self.lowestPrice = 0
class TLI(PythonData):
def GetSource(self, config, date, isLive):
#source = "https://www.dropbox.com/s/zlm00njnufrhnko/TLI.csv?dl=1"
source = "https://www.dropbox.com/s/q4njfg7ihs2cwb0/TLI_20220415.csv?dl=1"
return SubscriptionDataSource(source, SubscriptionTransportMedium.RemoteFile);
def Reader(self, config, line, date, isLive):
if not (line.strip() and line[0].isdigit()):
return None
data = line.split(',')
tli = TLI()
try:
tli.Symbol = config.Symbol
# make data available Monday morning (Friday 16:00 + 66 hours)
# since we can't trade on weekend anyway
tli.Time = datetime.strptime(data[0], '%Y-%m-%d %H:%M:%S') + timedelta(hours=66)
tli.Value = data[1]
except ValueError:
return None
return tli