| Overall Statistics |
|
Total Trades 22 Average Win 1.34% Average Loss -1.82% Compounding Annual Return -79.108% Drawdown 12.100% Expectancy -0.369 Net Profit -7.365% Sharpe Ratio -2.784 Probabilistic Sharpe Ratio 17.906% Loss Rate 64% Win Rate 36% Profit-Loss Ratio 0.74 Alpha -1.183 Beta 1.105 Annual Standard Deviation 0.404 Annual Variance 0.163 Information Ratio -2.95 Tracking Error 0.399 Treynor Ratio -1.018 Total Fees $0.00 |
class ParticleVerticalAtmosphericScrubbers(QCAlgorithm):
def Initialize(self):
self.tickerOne = "AMD"
self.tickerTwo = "SPY"
self.SetStartDate(2017, 1, 16) # Set Start Date
self.SetEndDate(2017, 2, 2) # Set End Date
self.SetCash(1000) # Set Strategy Cash
self.AddEquity("AMD", Resolution.Minute, Market.USA, True, 1, True)
self.Securities[self.tickerOne].FeeModel = ConstantFeeModel(0)
#self.SetDataNormalizationMode(DataNormalizationMode.Raw)
self.ticket = None
self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.At(15, 59), self.purchase)
def OnData(self, data):
if self.Portfolio.Invested and self.Securities[self.tickerOne].Price <= self.sellPrice and self.ticket is None:
self.ticket = self.LimitOrder(self.tickerOne, -self.Portfolio[self.tickerOne].Quantity, self.Securities[self.tickerOne].Price*.5)
def purchase(self):
self.sellPrice = self.Securities[self.tickerOne].Price * 0.991
self.dailyClose = self.Securities[self.tickerOne].Price
self.Debug("Portfolio Quantity: " + str(self.Portfolio[self.tickerOne].Quantity))
if not self.Portfolio.Invested:
self.SetHoldings(self.tickerOne, 1)
def OnOrderEvent(self, fill):
if fill.Status == 3:
if fill.Direction == 0:
direction = "Buy"
self.Debug(str(direction) + " " + str(fill.FillQuantity) + " @ " + str(fill.FillPrice))
else:
direction = "Sell"
self.Debug(str(direction) + " " + str(fill.FillQuantity) + " @ " +str(fill.FillPrice) + " Loss: " +
str( (fill.FillPrice-self.dailyClose)/self.dailyClose ))
self.ticket = None