| Overall Statistics |
|
Total Trades 462 Average Win 1.45% Average Loss -0.70% Compounding Annual Return 37.337% Drawdown 12.200% Expectancy 0.189 Net Profit 88.725% Sharpe Ratio 1.435 Probabilistic Sharpe Ratio 67.774% Loss Rate 61% Win Rate 39% Profit-Loss Ratio 2.06 Alpha 0.264 Beta 0.011 Annual Standard Deviation 0.184 Annual Variance 0.034 Information Ratio 0.724 Tracking Error 0.235 Treynor Ratio 24.594 Total Fees $3923.35 Estimated Strategy Capacity $23000000.00 Lowest Capacity Asset QQQ RIWIV7K5Z9LX |
# super trend master
from AlgorithmImports import *
# -------------------------------------------------------------------------
STOCK = "QQQ"; BAR = 201; SL = -0.0145; TP = 0.005; ATR = 14; MULT = 0.165;
# -------------------------------------------------------------------------
class SuperTrendIndicator(QCAlgorithm):
def Initialize(self):
self.SetStartDate(DateTime(2020, 6, 10, 9, 30, 0))
self.SetEndDate(DateTime(2022, 6, 10, 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)
pnl = self.Securities[self.stock].Holdings.UnrealizedProfitPercent
if not self.Portfolio[self.stock].IsLong:
if self.Securities[self.stock].High > self.st.Current.Value:
self.SetHoldings(self.stock, 1, True, "Buy Signal")
elif not self.Portfolio[self.stock].IsShort:
if self.Securities[self.stock].Low < self.st.Current.Value:
self.SetHoldings(self.stock, -1, True, "Sell Signal")
elif self.Portfolio[self.stock].Invested:
if pnl < SL:
self.Liquidate(self.stock, "Stop Loss")
elif pnl > TP:
self.Liquidate(self.stock, "Take Profit")