| Overall Statistics |
|
Total Orders 2159 Average Win 0.90% Average Loss -0.75% Compounding Annual Return -3.745% Drawdown 41.600% Expectancy -0.066 Start Equity 100000 End Equity 59335.87 Net Profit -40.664% Sharpe Ratio -0.351 Sortino Ratio -0.397 Probabilistic Sharpe Ratio 0.000% Loss Rate 58% Win Rate 42% Profit-Loss Ratio 1.20 Alpha -0.031 Beta -0.196 Annual Standard Deviation 0.114 Annual Variance 0.013 Information Ratio -0.412 Tracking Error 0.212 Treynor Ratio 0.204 Total Fees $4096.83 Estimated Strategy Capacity $60000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 17.99% |
#region imports
from AlgorithmImports import *
#endregion
class DualThrustAlgorithm(QCAlgorithm):
def initialize(self):
self.set_start_date(2004,1,1)
self.set_end_date(2017,8,30)
self.set_cash(100000)
equity = self.add_security(SecurityType.EQUITY, "SPY", Resolution.HOUR)
self._syl = equity.symbol
# schedule an event to fire every trading day for a security
# the time rule here tells it to fire when market open
self.schedule.on(self.date_rules.every_day(self._syl),self.time_rules.after_market_open(self._syl,0),self._set_signal)
self._selltrig = None
self._buytrig = None
self._currentopen = None
def _set_signal(self):
k1 = 0.5
k2 = 0.5
high = []
low = []
close = []
history = self.history(4, Resolution.DAILY)
for slice in history:
bar = slice[self._syl]
high.append(bar.high)
low.append(bar.low)
close.append(bar.close)
# Pull the open price on each trading day
self._currentopen = self.portfolio[self._syl].price
HH, HC, LC, LL = max(high), max(close), min(close), min(low)
if (HH - LC) >= (HC - LL):
signalrange = HH - LC
else:
signalrange = HC - LL
self._selltrig = self._currentopen - k2 * signalrange
self._buytrig = self._currentopen + k1 * signalrange
def on_data(self,data):
if not data.contains_key(self._syl) or self._syl not in data:
return
holdings = self.portfolio[self._syl].quantity
self.log('Holdings: ' + str(holdings))
if self.portfolio[self._syl].price >= self._buytrig:
if holdings >= 0:
self.set_holdings(self._syl, 0.8)
else:
self.liquidate(self._syl)
self.set_holdings(self._syl, 0.8)
elif self.portfolio[self._syl].price < self._selltrig:
if holdings >= 0:
self.liquidate(self._syl)
self.set_holdings(self._syl, -0.8)
else:
self.set_holdings(self._syl, -0.8)
self.log("open: "+ str(self._currentopen)+" buy: "+str(self._buytrig)+" sell: "+str(self._selltrig))