| Overall Statistics |
|
Total Trades 877 Average Win 2.12% Average Loss -1.28% Compounding Annual Return 194.232% Drawdown 54.600% Expectancy 0.476 Net Profit 768.290% Sharpe Ratio 2.571 Probabilistic Sharpe Ratio 85.068% Loss Rate 44% Win Rate 56% Profit-Loss Ratio 1.65 Alpha 1.426 Beta 0.269 Annual Standard Deviation 0.574 Annual Variance 0.329 Information Ratio 2.186 Tracking Error 0.591 Treynor Ratio 5.491 Total Fees $116544.85 Estimated Strategy Capacity $0 Lowest Capacity Asset BNSOF R735QTJ8XC9X |
from AlgorithmImports import *
from Risk.TrailingStopRiskManagementModel import TrailingStopRiskManagementModel
class WellDressedSkyBlueSardine(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 1, 1)
self.SetEndDate(2021,12, 31)
self.SetCash(100000)
self.rebalanceTime = datetime.min
self.activeStocks = set()
self.SetRiskManagement(TrailingStopRiskManagementModel(0.11))
self.AddUniverse(self.CoarseFilter, self.FineFilter)
self.UniverseSettings.Resolution = Resolution.Daily
self.portfolioTargets = []
#Parameters
timedelta = self.GetParameter("timedelta")
sortedByPE = self.GetParameter("sortedByPE")
MarketCap = self.GetParameter("MarketCap")
self.PRAM_timedelta = 16 if timedelta is None else int(timedelta)
self.PRAM_sortedByPE = 8 if sortedByPE is None else int(sortedByPE)
self.PRAM_MarketCap = 10000000 if MarketCap is None else int(MarketCap)
def CoarseFilter(self, coarse):
# Rebalancing monthly
if self.Time <= self.rebalanceTime:
return self.Universe.Unchanged
self.rebalanceTime = self.Time + timedelta(self.PRAM_timedelta)
sortedByDollarVolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=False)
return [x.Symbol for x in sortedByDollarVolume if x.Price < 10
and x.HasFundamentalData][:200]
def FineFilter(self, fine):
sortedByPE = sorted(fine, key=lambda x: x.MarketCap, reverse=False)
return [x.Symbol for x in sortedByPE if x.MarketCap > self.PRAM_MarketCap][:self.PRAM_sortedByPE]
def OnSecuritiesChanged(self, changes):
# close positions in removed securities
for x in changes.RemovedSecurities:
self.Liquidate(x.Symbol)
self.activeStocks.remove(x.Symbol)
# can't open positions here since data might not be added correctly yet
for x in changes.AddedSecurities:
self.activeStocks.add(x.Symbol)
# adjust targets if universe has changed
#if self.SetRiskManagement is True:
# self.SetHoldings(-1)
#else:
self.portfolioTargets = [PortfolioTarget(symbol, 1/len(self.activeStocks))
for symbol in self.activeStocks]
def OnData(self, data):
if self.portfolioTargets == []:
return
for symbol in self.activeStocks:
if symbol not in data:
return
self.SetHoldings(self.portfolioTargets)
self.portfolioTargets = []
def OnOrderEvent(self, orderEvent):
if orderEvent.Status == OrderStatus.Filled:
self.Debug(f'Processed Order: {orderEvent.Symbol}, Quantity: {orderEvent.FillQuantity}')