| Overall Statistics |
|
Total Trades 455 Average Win 2.26% Average Loss -1.19% Compounding Annual Return 93.118% Drawdown 14.900% Expectancy 0.590 Net Profit 364.672% Sharpe Ratio 3.045 Probabilistic Sharpe Ratio 99.498% Loss Rate 45% Win Rate 55% Profit-Loss Ratio 1.90 Alpha 0.578 Beta 0.235 Annual Standard Deviation 0.198 Annual Variance 0.039 Information Ratio 1.99 Tracking Error 0.249 Treynor Ratio 2.567 Total Fees $219.70 Estimated Strategy Capacity $1600000.00 Lowest Capacity Asset ETHUSD XJ |
# RSI for equities, cryptos and cfds with Stop Loss and Take Profit
# ------------------------------------------------------------------------------
EQUITIES = ['AAPL','TSLA']; CRYPTOS = ['BTCUSD', 'ETHUSD']; CFDS = ['WTICOUSD'];
RSI_PERIOD = 14; SL = -0.05; TP = 0.10;
# ------------------------------------------------------------------------------
class IndicatorForEquitiesAndCryptos(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 1, 1)
self.SetEndDate(2022, 5, 1)
self.SetCash(100000)
self.equities = [self.AddEquity(ticker, Resolution.Minute).Symbol for ticker in EQUITIES]
self.cryptos = [self.AddCrypto(ticker, Resolution.Minute).Symbol for ticker in CRYPTOS]
self.cfds = [self.AddCfd(ticker, Resolution.Minute).Symbol for ticker in CFDS]
self.assets = self.equities + self.cryptos + self.cfds
self.rsi = {}
for sec in self.assets:
self.rsi[sec] = self.RSI(sec, RSI_PERIOD, MovingAverageType.Simple, Resolution.Daily)
self.SetWarmUp(RSI_PERIOD + 1, Resolution.Daily)
def OnData(self, data):
if not (self.Time.hour == 10 and self.Time.minute == 1): return
if self.IsWarmingUp: return
# self.Log(self.assets)
for sec in self.assets:
rsi = self.rsi[sec].Current.Value
self.Plot("RSI", sec, rsi)
if not self.Portfolio[sec].Invested:
if rsi >= 60:
self.SetHoldings(sec, 0.2)
elif self.Portfolio[sec].Invested:
pnl = self.Securities[sec].Holdings.UnrealizedProfitPercent
if rsi < 50:
self.Liquidate(sec, "rsi < 50")
elif pnl < SL:
self.Liquidate(sec, "Stop Loss")
elif pnl > TP:
self.Liquidate(sec, "Take Profit")