| Overall Statistics |
|
Total Trades 58 Average Win 0.03% Average Loss -0.32% Compounding Annual Return 3.060% Drawdown 19.200% Expectancy -0.945 Net Profit 3.068% Sharpe Ratio 0.209 Probabilistic Sharpe Ratio 17.017% Loss Rate 95% Win Rate 5% Profit-Loss Ratio 0.11 Alpha 0.037 Beta 0.032 Annual Standard Deviation 0.201 Annual Variance 0.04 Information Ratio -0.375 Tracking Error 0.336 Treynor Ratio 1.307 Total Fees $191.97 Estimated Strategy Capacity $430000000.00 Lowest Capacity Asset GOOCV VP83T1ZUHROL Portfolio Turnover 0.96% |
# region imports
from AlgorithmImports import *
# endregion
class GeekySkyBlueGorilla(QCAlgorithm):
PercentTimes = 500
def Initialize(self):
self.SetStartDate(2020, 1, 1) # Set Start Date
self.SetEndDate(2021, 1, 1) # Set End Date
self.SetCash(1000000) # Set Strategy Cash
self.goog = self.AddEquity("GOOG", Resolution.Daily).Symbol
self.amzn = self.AddEquity("AMZN", Resolution.Daily).Symbol
self.FirstDay = None
def OnData(self, data: Slice):
if self.FirstDay is None:
self.FirstDay = {self.goog:data[self.goog].Price,
self.amzn:data[self.amzn].Price}
self.MarketOrder(self.goog, 6000)
self.MarketOrder(self.amzn, -8000)
pct_change = lambda old,new: (new-old)/old
self.Change = {self.goog: pct_change(self.FirstDay[self.goog],data[self.goog].Price),
self.amzn: pct_change(self.FirstDay[self.amzn],data[self.amzn].Price),}
self.Plot('Changes',self.goog.Value, self.Change[self.goog])
self.Plot('Changes',self.amzn.Value, self.Change[self.amzn])
# If the prices takes momentum increase the current position
if self.Change[self.goog] > 0.02 and self.Change[self.amzn] < -0.02:
abs_mean_change = np.mean(np.abs([self.Change[self.goog],self.Change[self.amzn]]))
self.MarketOrder(self.goog, 6*abs_mean_change*self.PercentTimes)
self.MarketOrder(self.amzn, -8*abs_mean_change*self.PercentTimes)
# Otherwise, if the prices takes momentum in the oposite direction, reduce the current position
elif self.Change[self.goog] < -0.02 and self.Change[self.amzn] > 0.02:
abs_mean_change = np.mean(np.abs([self.Change[self.goog],self.Change[self.amzn]]))
self.MarketOrder(self.goog, -6*abs_mean_change*self.PercentTimes)
self.MarketOrder(self.amzn, 8*abs_mean_change*self.PercentTimes)
if self.Portfolio.Invested and self.Portfolio.TotalUnrealizedProfit < -100000:
self.Liquidate()