| Overall Statistics |
|
Total Trades 21 Average Win 0.99% Average Loss -0.84% Compounding Annual Return 281.519% Drawdown 3.400% Expectancy -0.132 Net Profit 3.991% Sharpe Ratio 10.485 Probabilistic Sharpe Ratio 82.360% Loss Rate 60% Win Rate 40% Profit-Loss Ratio 1.17 Alpha 1.728 Beta 0.62 Annual Standard Deviation 0.2 Annual Variance 0.04 Information Ratio 10.917 Tracking Error 0.138 Treynor Ratio 3.379 Total Fees $52.16 Estimated Strategy Capacity $27000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
# Trading QC Super Trend Indicator
# --------------------------------------------
STOCK = "SPY"; BAR = 50; ATR = 2; MULT = 0.1;
# --------------------------------------------
class SuperTrendIndicator(QCAlgorithm):
def Initialize(self):
self.SetStartDate(DateTime(2022, 5, 17, 9, 30, 0))
self.SetEndDate(DateTime(2022, 5, 27, 16, 0, 0))
self.SetCash(200000)
res = Resolution.Minute
self.stock = self.AddEquity(STOCK, res).Symbol
consolidator = TradeBarConsolidator(timedelta(minutes = BAR))
self.Consolidate(self.stock, timedelta(minutes = BAR), self.BarHandler)
self.st = SuperTrend(ATR, MULT, MovingAverageType.Wilders)
self.RegisterIndicator(self.stock, self.st, consolidator)
self.SetWarmUp(5*BAR*ATR, res)
def BarHandler(self, consolidated):
if self.IsWarmingUp: return
if not self.st.IsReady: return
self.Plot(STOCK, "Price", self.Securities[self.stock].Price)
self.Plot(STOCK, "Super Trend", self.st.Current.Value)
if self.Securities[self.stock].Price > self.st.Current.Value: # trend is bullish
self.SetHoldings(self.stock, 1, True, "Buy Signal")
elif self.Securities[self.stock].Price < self.st.Current.Value: # trend is bearinsh
self.Liquidate(self.stock, "Sell Signal")