| Overall Statistics |
|
Total Trades 87 Average Win 0.87% Average Loss -0.38% Compounding Annual Return 8.557% Drawdown 16.300% Expectancy 0.688 Net Profit 21.559% Sharpe Ratio 0.561 Probabilistic Sharpe Ratio 19.917% Loss Rate 49% Win Rate 51% Profit-Loss Ratio 2.31 Alpha 0.043 Beta 0.399 Annual Standard Deviation 0.117 Annual Variance 0.014 Information Ratio 0.065 Tracking Error 0.136 Treynor Ratio 0.164 Total Fees $205.03 Estimated Strategy Capacity $5100000.00 Lowest Capacity Asset PE R735QTJ8XC9X Portfolio Turnover 0.80% |
# region imports
from AlgorithmImports import *
from QuantConnect.Data.Market import TradeBar
from QuantConnect.Orders import *
# endregion
class StrongVolumeAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 1, 1)
self.SetCash(100000)
self.AddEquity("SPY", Resolution.Daily)
self.UniverseSettings.Resolution = Resolution.Daily
self.AddUniverse(self.CoarseSelectionFunction)
self.trailingStopPercent = 0.03
self.previous_spy_price = None
self.previous_prices = {}
self.symbols_to_invest = []
self.SetWarmUp(100, Resolution.Daily)
self.SetHoldings("SPY", 0.1)
def CoarseSelectionFunction(self, coarse):
sortedByDollarVolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True)
selected = []
for x in sortedByDollarVolume[:500]:
if x.Symbol not in self.previous_prices or (x.Volume > 5000000 and x.AdjustedPrice > self.previous_prices[x.Symbol]):
selected.append(x.Symbol)
self.previous_prices[x.Symbol] = x.AdjustedPrice
self.Debug(f"{self.Time} - Selected securities: {selected}")
self.symbols_to_invest = selected
return selected
def OnData(self, data):
if self.previous_spy_price is not None and self.Securities["SPY"].Price < self.previous_spy_price:
for symbol in self.symbols_to_invest:
if data.ContainsKey(symbol) and data[symbol] is not None:
if self.Securities.ContainsKey(symbol) and data[symbol].Close > self.previous_prices[symbol]:
self.SetHoldings(symbol, 0.1)
self.StopMarketOrder(symbol, -self.Portfolio[symbol].Quantity, self.Securities[symbol].Price * (1-self.trailingStopPercent))
self.Debug(f"{self.Time} - Placed order for: {symbol}")
self.previous_spy_price = self.Securities["SPY"].Price
def OnOrderEvent(self, orderEvent):
if orderEvent.Status != OrderStatus.Filled:
return
order = self.Transactions.GetOrderById(orderEvent.OrderId)
if order.Type == OrderType.Market and order.Direction == OrderDirection.Buy:
self.StopMarketOrder(order.Symbol, -order.Quantity, orderEvent.FillPrice * (1-self.trailingStopPercent))
self.Debug(f"{self.Time} - Filled order for: {order.Symbol}")