| Overall Statistics |
|
Total Trades 37 Average Win 0.05% Average Loss -0.09% Compounding Annual Return -6.673% Drawdown 0.700% Expectancy -0.241 Net Profit -0.189% Sharpe Ratio -1.626 Probabilistic Sharpe Ratio 32.462% Loss Rate 53% Win Rate 47% Profit-Loss Ratio 0.61 Alpha -0.036 Beta 0.207 Annual Standard Deviation 0.04 Annual Variance 0.002 Information Ratio 0.663 Tracking Error 0.114 Treynor Ratio -0.312 Total Fees $37.00 Estimated Strategy Capacity $24000000.00 Lowest Capacity Asset AMZN R735QTJ8XC9X |
class MomentumEffectAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 9, 15)
self.SetCash(100000)
self.UniverseSettings.Resolution = Resolution.Minute
self.macd = {}
self.userlist = ["AAPL","AMZN","TSLA","BABA"]
self.AutomaticIndicatorWarmup = True
self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction)
self.consolidators = {}
def ThirtyMinuteHandler(self, sender, bar):
for i in self.Securities.Keys:
if self.macd[i].Current.Value > self.macd[i].Signal.Current.Value:
self.SetHoldings(i, 0.1)
elif self.macd[i].Signal.Current.Value > self.macd[i].Current.Value:
self.Liquidate(i)
def CoarseSelectionFunction(self, coarse):
return [x.Symbol for x in coarse if x.Symbol.Value in self.userlist]
def FineSelectionFunction(self, fine):
return [x.Symbol for x in fine if x.Symbol.Value in self.userlist]
def OnData(self, data):
pass
def OnSecuritiesChanged(self, changes):
# Clean up data for removed securities
for security in changes.RemovedSecurities:
# Remove consolidator
consolidator = self.consolidators.pop(security.Symbol)
self.SubscriptionManager.RemoveConsolidator(security.Symbol, consolidator)
consolidator.DataConsolidated -= self.ThirdtyMinuteHandler
# Remove indicators
self.macd.pop(security.Symbol, None)
# Liquidate
self.Liquidate(security.Symbol)
# Loop through added securities
for security in changes.AddedSecurities:
# Register consolidator to get automatically updated with minute data
thirtyMinuteConsolidator = TradeBarConsolidator(timedelta(minutes=30))
thirtyMinuteConsolidator.DataConsolidated += self.ThirtyMinuteHandler
self.SubscriptionManager.AddConsolidator(security.Symbol, thirtyMinuteConsolidator)
self.consolidators[security.Symbol] = thirtyMinuteConsolidator
# Register indicators to get automatically updated with 30 minute bars
self.macd[security.Symbol] = MovingAverageConvergenceDivergence(12, 26, 9, MovingAverageType.Exponential)
self.RegisterIndicator(security.Symbol, self.macd[security.Symbol], thirtyMinuteConsolidator, Field.Open)