| Overall Statistics |
|
Total Trades 7 Average Win 13.10% Average Loss 0% Compounding Annual Return 8.211% Drawdown 13.600% Expectancy 0 Net Profit 53.623% Sharpe Ratio 0.703 Probabilistic Sharpe Ratio 19.364% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0.03 Beta 0.22 Annual Standard Deviation 0.085 Annual Variance 0.007 Information Ratio -0.527 Tracking Error 0.142 Treynor Ratio 0.272 Total Fees $231.01 Estimated Strategy Capacity $40000000.00 Lowest Capacity Asset QQQ RIWIV7K5Z9LX |
# Trading QC Engulfing Candlestick Pattern consolidated
from QuantConnect.Indicators.CandlestickPatterns import Engulfing
# ---------------------------------
STOCK = 'QQQ'; BAR = 15; LEV = 1.0;
# ---------------------------------
class CandlestickPattern(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2016, 6, 24)
self.SetEndDate(2021, 11, 30)
self.SetCash(1000000)
res = Resolution.Minute
self.stock = self.AddEquity(STOCK, res).Symbol
self.SetWarmUp(4*BAR, res)
self.pattern = Engulfing()
consolidator = TradeBarConsolidator(timedelta(BAR))
consolidator.DataConsolidated += self.consolidation_handler
self.RegisterIndicator(self.stock, self.pattern, consolidator)
def consolidation_handler(self, sender, consolidated):
if self.IsWarmingUp or not self.pattern.IsReady: return
pattern = self.pattern.Current.Value
self.Plot(self.stock, 'Engulfing', self.pattern.Current.Value)
if pattern == 1:
self.SetHoldings(self.stock, LEV)
elif pattern == -1:
self.Liquidate(self.stock)