| Overall Statistics |
|
Total Trades 273 Average Win 2.99% Average Loss -5.35% Compounding Annual Return 0% Drawdown 100.000% Expectancy -0.477 Net Profit -100.044% Sharpe Ratio -0.359 Probabilistic Sharpe Ratio 5.686% Loss Rate 66% Win Rate 34% Profit-Loss Ratio 0.56 Alpha -1.343 Beta 3.128 Annual Standard Deviation 3.52 Annual Variance 12.387 Information Ratio -0.368 Tracking Error 3.503 Treynor Ratio -0.404 Total Fees $0.00 |
import numpy as np
from decimal import *
from datetime import timedelta, datetime
class RegressionChannelAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetCash(1000000)
self.SetStartDate(2015,3,6)
self.symbols = ["EURGBP", "GBPUSD", "USDCHF", "CADJPY", "EURUSD"]
slowperiod = 4000
self.SetWarmUp(slowperiod)
for symbol in self.symbols:
equity = self.AddForex(symbol, Resolution.Hour, Market.Oanda)
self.Consolidate(symbol, timedelta(hours=5), self.twoforty)
self.Consolidate(symbol, timedelta(hours=23), self.days)
#240MIN SETTINGS
self.lsma4 = self.LSMA("EURUSD", 850, Resolution.Hour) #lsma 1700, atr kama 1day, 1700, 1700, 300LinearWeightedMovingAverage
self.ladx4 = self.ADXR("EURUSD", 850, Resolution.Hour) #ADXR
self.sadx4 = self.ADXR("EURUSD", 150, Resolution.Hour)
#1day settings
self.sma4 = self.LSMA("EURUSD", 1707, Resolution.Hour) #lsma 1700, atr kama 1day, 1700, 1700, 300
self.latr4 = self.ADXR("EURUSD", 1707, Resolution.Hour) #ADXR
self.satr4 = self.ADXR("EURUSD", 307, Resolution.Hour)
def OnData(self, data):
if (not data.ContainsKey(self.symbols[0])): return #(not data.ContainsKey(self.symbols[1])) or
if (not data.ContainsKey(self.symbols[1])) or (not data.ContainsKey(self.symbols[2])): return
if (not data.ContainsKey(self.symbols[3])) or (not data.ContainsKey(self.symbols[4])): return
def twoforty(self, consolidated):
if self.IsWarmingUp: return
#if (not self.satr4.IsReady): return
#if (not self.latr4.IsReady): return
value1 = self.Securities[self.symbols[1]].Price
value4 = self.Securities[self.symbols[4]].Price
#holdings = self.Portfolio["EURUSD"].TotalHoldingsValue
#amount240 = decimal.Decimal(0.013)
quantity = self.CalculateOrderQuantity("EURUSD",1)
holdings = False
if holdings == False:
if self.sadx4.Current.Value > self.ladx4.Current.Value and value4 < self.lsma4.Current.Value:
self.MarketOrder(self.symbols[4], -quantity)
self.MarketOrder(self.symbols[0], -quantity)
self.MarketOrder(self.symbols[1], -quantity)
self.MarketOrder(self.symbols[2], -quantity)
holdings == True
self.Debug("just went short, holdings is: " + str(holdings))
elif self.sadx4.Current.Value > self.ladx4.Current.Value and value4 > self.lsma4.Current.Value:
self.SetHoldings(self.symbols[4], quantity)
self.SetHoldings(self.symbols[0], quantity)
self.SetHoldings(self.symbols[1], quantity)
self.SetHoldings(self.symbols[2], quantity)
holdings == True
self.Debug("just went long, holdings is: " + str(holdings))
if holdings == True:
if self.Portfolio[self.symbols[4]].IsShort:
if value4 > self.lsma4.Current.Value and self.sadx4.Current.Value < self.ladx4.Current.Value:
self.Liquidate(self.symbols[4])
self.Liquidate(self.symbols[0])
self.Liquidate(self.symbols[1])
self.Liquidate(self.symbols[2])
holdings == False
elif self.Portfolio[self.symbols[4]].IsLong:
if value4 < self.lsma4.Current.Value and self.sadx4.Current.Value < self.ladx4.Current.Value:
self.Liquidate(self.symbols[4])
self.Liquidate(self.symbols[0])
self.Liquidate(self.symbols[1])
self.Liquidate(self.symbols[2])
holdings == False
def days(self, consolidated):
'''
value1 = self.Securities[self.symbols[1]].Price
value4 = self.Securities[self.symbols[4]].Price
if not self.Securities["EURUSD"].Invested:
if self.satr4.Current.Value > self.latr4.Current.Value and value4 < self.sma4.Current.Value:
self.SetHoldings(self.symbols[4], -1)
self.SetHoldings(self.symbols[0], -1)
self.SetHoldings(self.symbols[1], -1)
self.SetHoldings(self.symbols[2], -1)
elif self.satr4.Current.Value > self.latr4.Current.Value and value4 > self.sma4.Current.Value:
self.SetHoldings(self.symbols[4], 1)
self.SetHoldings(self.symbols[0], 1)
self.SetHoldings(self.symbols[1], 1)
self.SetHoldings(self.symbols[2], 1)
if self.Securities["EURUSD"].Invested:
if self.Portfolio[self.symbols[4]].IsShort:
if value4 > self.sma4.Current.Value and self.satr4.Current.Value < self.latr4.Current.Value:
self.Liquidate(self.symbols[4])
self.Liquidate(self.symbols[0])
self.Liquidate(self.symbols[1])
self.Liquidate(self.symbols[2])
elif self.Portfolio[self.symbols[4]].IsLong:
if value4 < self.sma4.Current.Value and self.satr4.Current.Value < self.latr4.Current.Value:
self.Liquidate(self.symbols[4])
self.Liquidate(self.symbols[0])
self.Liquidate(self.symbols[1])
self.Liquidate(self.symbols[2])
'''
pass