Overall Statistics |
Total Trades 2393 Average Win 0.88% Average Loss -0.74% Compounding Annual Return -6.385% Drawdown 65.700% Expectancy -0.102 Net Profit -59.431% Sharpe Ratio -0.37 Loss Rate 59% Win Rate 41% Profit-Loss Ratio 1.20 Alpha -0.06 Beta 0.241 Annual Standard Deviation 0.148 Annual Variance 0.022 Information Ratio -0.505 Tracking Error 0.148 Treynor Ratio -0.228 Total Fees $4585.58 |
from datetime import datetime import decimal import numpy as np class DualThrustAlgorithm(QCAlgorithm): def Initialize(self): '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.''' self.SetStartDate(2004,1,1) self.SetEndDate(2017,8,30) self.SetCash(100000) equity = self.AddSecurity(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.DateRules.EveryDay(self.syl),self.TimeRules.AfterMarketOpen(self.syl,0),Action(self.SetSignal)) self.selltrig = None self.buytrig = None self.currentopen = None def SetSignal(self): history = self.History(4, Resolution.Daily) k1 = 0.5 k2 = 0.5 self.high = [] self.low = [] self.close = [] for slice in history: bar = slice[self.syl] self.high.append(bar.High) self.low.append(bar.Low) self.close.append(bar.Close) # Pull the open price on each trading day self.currentopen = self.Portfolio[self.syl].Price HH, HC, LC, LL = max(self.high), max(self.close), min(self.close), min(self.low) if (HH - LC) >= (HC - LL): signalrange = HH - LC else: signalrange = HC - LL self.selltrig = self.currentopen - decimal.Decimal(k2) * signalrange self.buytrig = self.currentopen + decimal.Decimal(k1) * signalrange def OnData(self,data): '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.''' if not data.ContainsKey(self.syl) or self.syl not in data.Keys: return holdings = self.Portfolio[self.syl].Quantity self.Log('Holdings: ' + str(holdings)) if self.Portfolio[self.syl].Price >= self.buytrig: if holdings >= 0: self.SetHoldings(self.syl, 0.8) else: self.Liquidate(self.syl) self.SetHoldings(self.syl, 0.8) elif self.Portfolio[self.syl].Price < self.selltrig: if holdings >= 0: self.Liquidate(self.syl) self.SetHoldings(self.syl, -0.8) else: self.SetHoldings(self.syl, -0.8) self.Log("open: "+ str(self.currentopen)+" buy: "+str(self.buytrig)+" sell: "+str(self.selltrig))