Overall Statistics
Total Trades
181
Average Win
54.76%
Average Loss
-5.73%
Compounding Annual Return
3629.234%
Drawdown
76.700%
Expectancy
3.177
Net Profit
14543.389%
Sharpe Ratio
108.508
Probabilistic Sharpe Ratio
99.313%
Loss Rate
60%
Win Rate
40%
Profit-Loss Ratio
9.56
Alpha
246.447
Beta
0.47
Annual Standard Deviation
2.272
Annual Variance
5.164
Information Ratio
108.332
Tracking Error
2.274
Treynor Ratio
524.38
Total Fees
$22212.16
Estimated Strategy Capacity
$5700000.00
Lowest Capacity Asset
GME SC72NCBXXAHX
 
# Ta-Lib Candlestick with RollingWindow

import numpy as np
import talib

class TaLibCandlestick(QCAlgorithm):
  
    def Initialize(self):
        
        self.SetStartDate(2020, 1, 1)
        self.SetEndDate(2021, 5, 17)
        self.SetCash(100000)
        self.SetWarmUp(15)
        self.sym = self.AddEquity('GME', Resolution.Hour).Symbol
        self.rollingWindow = RollingWindow[TradeBar](15)
        self.Consolidate(self.sym, Resolution.Hour, self.CustomBarHandler)
        

    def OnData(self, data):
        if not self.rollingWindow.IsReady:
            return

        O = np.array([self.rollingWindow[i].Open for i in range(15)])
        H = np.array([self.rollingWindow[i].High for i in range(15)])
        L = np.array([self.rollingWindow[i].Low for i in range(15)])
        C = np.array([self.rollingWindow[i].Close for i in range(15)])
        
        pattern = []
        pattern.append(talib.CDLBELTHOLD(O, H, L, C))
        pattern.append(talib.CDL3INSIDE(O, H, L, C))
        
        self.Debug(pattern)

        isPattern = False
        
        for l in pattern:
            if l.any() > 0:
                # self.Debug('Pattern found')
                isPattern = True
                break
              
        if isPattern:
            self.SetHoldings(self.sym, 1) 
        else: 
            if self.Securities[self.sym].Price < L[-1]:
                 self.Liquidate(self.sym) 
               
            
    def CustomBarHandler(self, bar):
        self.rollingWindow.Add(bar)