Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 33.439% Drawdown 0.900% Expectancy 0 Net Profit 0.930% Sharpe Ratio 3.519 Probabilistic Sharpe Ratio 70.148% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.181 Beta 0.053 Annual Standard Deviation 0.067 Annual Variance 0.004 Information Ratio -5.008 Tracking Error 0.159 Treynor Ratio 4.448 Total Fees $0.00 |
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. # Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. # # Licensed under the Apache License, Version 2.0 (the "License"); # you may not use this file except in compliance with the License. # You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 # # Unless required by applicable law or agreed to in writing, software # distributed under the License is distributed on an "AS IS" BASIS, # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. # See the License for the specific language governing permissions and # limitations under the License. import clr clr.AddReference("System") clr.AddReference("QuantConnect.Algorithm") clr.AddReference("QuantConnect.Common") from System import * from QuantConnect import * from QuantConnect.Algorithm import * import numpy as np from keras.models import Sequential from keras.layers import Dense, Activation from keras.optimizers import SGD class KerasNeuralNetworkAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2013, 10, 7) # Set Start Date self.SetEndDate(2013, 10, 18) # Set End Date self.SetCash(100000) # Set Strategy Cash # spy = self.AddEquity("SPY", Resolution.Minute) spy = self.AddForex("EURUSD", Resolution.Minute) self.symbols = [spy.Symbol] # This way can be easily extended to multiply symbols self.lookback = 30 # day of lookback for historical data self.Schedule.On(self.DateRules.Every(DayOfWeek.Monday), self.TimeRules.AfterMarketOpen("EURUSD", 28), self.NetTrain) # train Neural Network self.Schedule.On(self.DateRules.Every(DayOfWeek.Monday), self.TimeRules.AfterMarketOpen("EURUSD", 30), self.Trade) def NetTrain(self): # Daily historical data is used to train the machine learning model history = self.History(self.symbols, self.lookback + 1, Resolution.Daily) # dicts that store prices for training self.prices_x = {} self.prices_y = {} # dicts that store prices for sell and buy self.sell_prices = {} self.buy_prices = {} for symbol in self.symbols: if not history.empty: # x: pridictors; y: response self.prices_x[symbol] = list(history.loc[symbol.Value]['open'])[:-1] self.prices_y[symbol] = list(history.loc[symbol.Value]['open'])[1:] for symbol in self.symbols: if symbol in self.prices_x: # convert the original data to np array for fitting the keras NN model x_data = np.array(self.prices_x[symbol]) y_data = np.array(self.prices_y[symbol]) # build a neural network from the 1st layer to the last layer model = Sequential() model.add(Dense(10, input_dim = 1)) model.add(Activation('relu')) model.add(Dense(1)) sgd = SGD(lr = 0.01) # learning rate = 0.01 # choose loss function and optimizing method model.compile(loss='mse', optimizer=sgd) # pick an iteration number large enough for convergence for step in range(701): # training the model cost = model.train_on_batch(x_data, y_data) # get the final predicted price y_pred_final = model.predict(y_data)[0][-1] # Follow the trend self.buy_prices[symbol] = y_pred_final + np.std(y_data) self.sell_prices[symbol] = y_pred_final - np.std(y_data) def Trade(self): ''' Enter or exit positions based on relationship of the open price of the current bar and the prices defined by the machine learning model. Liquidate if the open price is below the sell price and buy if the open price is above the buy price ''' for holding in self.Portfolio.Values: if self.CurrentSlice[holding.Symbol].Open < self.sell_prices[holding.Symbol] and holding.Invested: self.Liquidate(holding.Symbol) if self.CurrentSlice[holding.Symbol].Open > self.buy_prices[holding.Symbol] and not holding.Invested: self.SetHoldings(holding.Symbol, 1 / len(self.symbols))