| Overall Statistics |
|
Total Trades 240 Average Win 0.51% Average Loss -0.17% Compounding Annual Return 10.656% Drawdown 2.800% Expectancy 0.124 Net Profit 2.472% Sharpe Ratio 1.02 Probabilistic Sharpe Ratio 50.447% Loss Rate 72% Win Rate 28% Profit-Loss Ratio 2.97 Alpha 0.083 Beta 0.013 Annual Standard Deviation 0.084 Annual Variance 0.007 Information Ratio -0.731 Tracking Error 0.152 Treynor Ratio 6.62 Total Fees $240.00 |
namespace QuantConnect.Algorithm.CSharp
{
public class VentralParticleChamber : QCAlgorithm
{
RelativeStrengthIndex _rsi;
SimpleMovingAverage _smaLong;
ExponentialMovingAverage _emaShort;
VolumeWeightedAveragePriceIndicator _vwap;
private string ticker = "SPY";
public override void Initialize()
{
SetStartDate(2019, 8, 10); //Set Start Date
SetCash(10000); //Set Strategy Cash
AddEquity(ticker, Resolution.Second);
//Request data before Initialize
SetWarmUp(TimeSpan.FromMinutes(181));
_rsi = RSI(ticker, 14, MovingAverageType.Simple, Resolution.Minute);
_emaShort = EMA(ticker, 15, Resolution.Minute);
_smaLong = SMA(ticker, 180, Resolution.Minute);
_vwap = VWAP(ticker, 20);
}
public override void OnData(Slice data)
{
if(!_smaLong.IsReady) return;
var quantity = Portfolio[ticker].Quantity;
if(_rsi > 55 && quantity == 0 && _emaShort > _smaLong && _vwap > 20)
{
SetHoldings(ticker, 1);
Debug($"Purchased ");
}
else if (_emaShort < _smaLong && quantity > 0)
{
Liquidate();
Debug("Sold");
}
}
public override void OnEndOfDay() {
Plot("RSI", _rsi);
Plot("EMA", _smaLong, _emaShort);
}
}
}