| Overall Statistics |
|
Total Trades 11 Average Win 9.92% Average Loss -2.25% Compounding Annual Return 7.539% Drawdown 8.900% Expectancy 2.245 Net Profit 71.510% Sharpe Ratio 0.97 Probabilistic Sharpe Ratio 43.054% Loss Rate 40% Win Rate 60% Profit-Loss Ratio 4.41 Alpha 0.066 Beta -0.018 Annual Standard Deviation 0.066 Annual Variance 0.004 Information Ratio -0.36 Tracking Error 0.173 Treynor Ratio -3.512 Total Fees $147.74 Estimated Strategy Capacity $3300000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
class SmoothOrangeWhale(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2014, 1, 1) # Set Start Date
self.SetCash(1000000) # Set Strategy Cash
self.SetBrokerageModel(BrokerageName.AlphaStreams)
self.spy = self.AddEquity("SPY",Resolution.Daily).Symbol
self.zzhl = ZigZagHighLow(self,"custom",100,0.1,0.5)
self.RegisterIndicator(self.spy,self.zzhl,Resolution.Daily)
self.SetWarmUp(100)
def OnData(self, data):
if not self.zzhl.IsReady:
return
if self.zzhl.Value>0 and not self.Portfolio.Invested:
self.SetHoldings(self.spy,0.5)
else:
if self.zzhl.Value<0 and self.Portfolio.Invested:
self.Liquidate()
class ZigZagHighLow(PythonIndicator):
def __init__(self,algorithm,symbol,length = 100 ,percent_change = 0.02 ,atr_reversal = 0 ):
self.algorithm = algorithm
self.name = symbol
self.high_index = 0
self.low_index = 0
self.dir = False
self.Value = 0
self.Period = length
self.percent_change = percent_change
self.atr_reversal = atr_reversal
self.high_window = RollingWindow[float](length)
self.low_window = RollingWindow[float](length)
self.atr = AverageTrueRange(10,MovingAverageType.Simple)
def Update(self,bar):
self.high_window.Add(bar.High)
self.low_window.Add(bar.Low)
self.high_index = max(0,min(self.high_index+1,self.high_window.Count-1))
self.low_index = max(0,min(self.low_index+1,self.low_window.Count-1))
self.atr.Update(bar)
if not self.dir:
if(bar.Low<((self.getHigh()*(1-self.percent_change))-(self.atr.Current.Value*self.atr_reversal))):
self.dir = True
self.low_index = 0
else:
if(bar.High>((self.getLow()*(1+self.percent_change))+(self.atr.Current.Value*self.atr_reversal))):
self.dir = False
self.high_index = 0
IsReady = self.high_window.IsReady and self.low_window.IsReady and self.atr.IsReady
if IsReady:
if self.low_index>self.high_index:
self.Value = 1
elif self.low_index==self.high_index:
self.Value = 0
else:
self.Value = -1
return IsReady
def getHigh(self):
high = self.high_window[self.high_index]
for i in range(self.high_index,-1,-1):
if self.high_window[i]>high:
high = self.high_window[i]
self.high_index = i
return high
def getLow(self):
low = self.low_window[self.low_index]
for i in range(self.low_index,-1,-1):
if self.low_window[i]<low:
low = self.low_window[i]
self.low_index = i
return low