| Overall Statistics |
|
Total Trades 10 Average Win 7.38% Average Loss -1.36% Compounding Annual Return 130.133% Drawdown 2.500% Expectancy 2.865 Net Profit 19.224% Sharpe Ratio 3.406 Probabilistic Sharpe Ratio 89.323% Loss Rate 40% Win Rate 60% Profit-Loss Ratio 5.44 Alpha 0.938 Beta 0.566 Annual Standard Deviation 0.321 Annual Variance 0.103 Information Ratio 2.563 Tracking Error 0.319 Treynor Ratio 1.93 Total Fees $237.09 Estimated Strategy Capacity $360000000.00 Lowest Capacity Asset AHPI R735QTJ8XC9X |
# Trading Volume Oscillator
# ----------------------------------------------------------
STOCKS = ["SPY", "AHPI"]; FAST = 1; SLOW = 20; THRESOLD = 2;
# ----------------------------------------------------------
class HipsterOrangeMonkey(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 6, 1)
self.SetEndDate(2021, 8, 15)
self.SetCash(100000)
self.stocks = [self.AddEquity(ticker, Resolution.Daily).Symbol for ticker in STOCKS]
self.macd = MovingAverageConvergenceDivergence(FAST, SLOW, MovingAverageType.Simple)
self.vo ={}
self.SetWarmUp(SLOW, Resolution.Daily)
def OnData(self, data):
if self.IsWarmingUp: return
for sec in self.stocks:
if data.Bars.ContainsKey(sec):
self.macd.Update(data[sec].EndTime, data[sec].Volume)
if self.macd.IsReady:
self.vo[sec] = self.macd.Fast.Current.Value / self.macd.Slow.Current.Value
self.Plot('Volume Oscillator', sec, self.vo[sec])
self.Plot('Volume Oscillator', "THRESOLD", THRESOLD)
selected = []
for sec in self.vo:
if self.vo[sec] > THRESOLD:
selected.append(sec)
if len(selected) == 0:
self.Liquidate()
else:
for sec in selected:
self.SetHoldings(sec, 1/len(selected))