| Overall Statistics |
|
Total Trades 322 Average Win 1.63% Average Loss -0.71% Compounding Annual Return 33.154% Drawdown 15.600% Expectancy 0.930 Net Profit 331.909% Sharpe Ratio 1.754 Probabilistic Sharpe Ratio 92.395% Loss Rate 41% Win Rate 59% Profit-Loss Ratio 2.30 Alpha 0.29 Beta -0.049 Annual Standard Deviation 0.161 Annual Variance 0.026 Information Ratio 0.517 Tracking Error 0.239 Treynor Ratio -5.723 Total Fees $11630.65 Estimated Strategy Capacity $600000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
class PriceActionLSSPY(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2016, 6, 1)
self.SetEndDate(2021, 7, 12)
self.SetCash(1000000)
self.AddEquity("SPY", Resolution.Daily)
self.SetBenchmark("SPY")
self.SetBrokerageModel(BrokerageName.AlphaStreams)
self.SetExecution(ImmediateExecutionModel())
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
symbol = [Symbol.Create("SPY", SecurityType.Equity, Market.USA)]
self.AddUniverseSelection(ManualUniverseSelectionModel(symbol))
self.AddAlpha(PriceActionLSSPYAlphaModel("SPY"))
class PriceActionLSSPYAlphaModel(AlphaModel):
def __init__(self, tkr):
self.period = timedelta(1)
self.symbol = tkr
def Update(self, algorithm,data):
insights = []
HO = 0.0
OL = 0.0
if data.ContainsKey(self.symbol):
Open = data[self.symbol].Open
High = data[self.symbol].High
Low = data[self.symbol].Low
Close = data[self.symbol].Close
Volume = data[self.symbol].Volume
HO = High - Open
OL = abs(Open - Low)
HC = High - Close
CL = abs(Close - Low)
if Close > Open:
if HO > OL:
insights.append(Insight(self.symbol, self.period, InsightType.Price, InsightDirection.Up, 1, None))
if Close < Open:
if HO < OL:
insights.append(Insight(self.symbol, self.period, InsightType.Price, InsightDirection.Up, 1, None))
if HO > OL:
insights.append(Insight(self.symbol, self.period, InsightType.Price, InsightDirection.Down, 1, None))
if HO == OL:
insights.append(Insight(self.symbol, self.period, InsightType.Price, InsightDirection.Up, 1, None))
if Close == Open:
if HO < OL:
insights.append(Insight(self.symbol, self.period, InsightType.Price, InsightDirection.Up, 1, None))
if HO > OL:
insights.append(Insight(self.symbol, self.period, InsightType.Price, InsightDirection.Down, 1, None))
if HO == OL:
insights.append(Insight(self.symbol, self.period, InsightType.Price, InsightDirection.Flat, 1, None))
return insights
def OnSecuritiesChanged(self, algorithm, changes):
self.changes = changes