| Overall Statistics |
|
Total Trades 2 Average Win 0% Average Loss 0% Compounding Annual Return -100.000% Drawdown 39.800% Expectancy 0 Net Profit -30.880% Sharpe Ratio -7.194 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 12.605 Beta -1540.353 Annual Standard Deviation 1.624 Annual Variance 2.636 Information Ratio -7.201 Tracking Error 1.624 Treynor Ratio 0.008 Total Fees $2.00 |
''' https://www.quantconnect.com/forum/discussion/3806/security-object-shows-067-history-shows-12
c means context to me, my replacement for 'self'
s means security_object except sometimes includes Price and sometimes not
ZSAN filtered logging below
'''
class PriceScreening(QCAlgorithm):
def Initialize(c):
c.SetCash(10)
c.SetStartDate(2017,12,21)
c.SetEndDate( 2017,12,28)
c.AddUniverse(c.CoarseSelection)
c.Schedule.On(c.DateRules.EveryDay(), c.TimeRules.At(9, 30), Action(c.trade))
def CoarseSelection(c, coarse):
coarse = [ s for s in coarse if s.Price > .60 and s.Price < .70 and s.HasFundamentalData ]
#for s in coarse:
# c.Securities[s].SetDataNormalizationMode(DataNormalizationMode.Raw) # Adjusted (default), Raw, SplitAdjusted, and TotalReturn
for s in coarse:
if 'ZSAN' in str(s.Symbol):
#c.Securities[s.Symbol].SetDataNormalizationMode(DataNormalizationMode.Raw)
c.Debug('Coarse {} {} prc {} \n{}'.format(s, str(s.Symbol), s.Price, c.History([s.Symbol], 7, Resolution.Daily)))
c.universe = [ s.Symbol for s in coarse ]
return c.universe
def trade(c):
if not len(c.universe): return
for s in c.universe:
if not c.Securities.ContainsKey(s): continue
c.Securities[s].SetDataNormalizationMode(DataNormalizationMode.Raw) # Adjusted (default), Raw, SplitAdjusted, or TotalReturn
prc = float(c.Securities[s].Price) # What should be used instead?
if not prc: continue
if prc > 5:
c.Debug('trade {} {} \n{}'.format(s, prc, c.History([s], 5, Resolution.Daily)))
else:
c.Debug('trade {} {}'.format(s, prc))
limit_prc = prc * .95
quantity = 1
c.Debug('trade order {} quantity {} limit_prc {}'.format(s, quantity, limit_prc))
c.LimitOrder(s, quantity, limit_prc)
'''
2017-12-22 00:00:00 Coarse ZSAN VXLELNXHWMSL: $0.67 ZSAN VXLELNXHWMSL prc 0.67
close high low open volume
symbol time
ZSAN VXLELNXHWMSL 2017-12-13 11.986 12.976 11.800 12.800 168676.0
2017-12-14 12.600 12.800 11.934 11.934 57095.0
2017-12-15 13.400 13.734 12.380 12.380 330689.0
2017-12-16 14.220 15.580 13.500 13.560 769637.0
2017-12-19 14.600 15.400 13.800 15.400 228957.0
2017-12-20 13.740 14.956 13.400 14.956 161154.0
2017-12-21 12.800 13.998 12.800 13.742 193489.0 <== SetDataNormalizationMode() hasn't run yet
2017-12-23 00:00:00 Coarse ZSAN VXLELNXHWMSL: $0.65 ZSAN VXLELNXHWMSL prc 0.646
close high low open volume
symbol time
ZSAN VXLELNXHWMSL 2017-12-14 0.630 0.6400 0.5967 0.5967 57095.0
2017-12-15 0.670 0.6867 0.6190 0.6190 330689.0
2017-12-16 0.711 0.7790 0.6750 0.6780 769637.0
2017-12-19 0.730 0.7700 0.6900 0.7700 228957.0
2017-12-20 0.687 0.7478 0.6700 0.7478 161154.0
2017-12-21 0.640 0.6999 0.6400 0.6871 193489.0
2017-12-22 0.670 0.6900 0.6300 0.6484 162037.0
2017-12-26 00:00:00 trade ZSAN VXLELNXHWMSL 12.92
close high low open volume
symbol time
ZSAN VXLELNXHWMSL 2017-12-19 0.730 0.7700 0.6900 0.7700 228957.0
2017-12-20 0.687 0.7478 0.6700 0.7478 161154.0
2017-12-21 0.640 0.6999 0.6400 0.6871 193489.0
2017-12-22 0.670 0.6900 0.6300 0.6484 162037.0
2017-12-23 0.646 0.6690 0.6314 0.6600 36729.0
2017-12-26 00:00:00 trade order ZSAN VXLELNXHWMSL quantity 1 limit_prc 12.274 ????
2017-12-26 00:00:00 trade ZSAN VXLELNXHWMSL 12.92
close high low open volume
symbol time
ZSAN VXLELNXHWMSL 2017-12-19 0.730 0.7700 0.6900 0.7700 228957.0
2017-12-20 0.687 0.7478 0.6700 0.7478 161154.0
2017-12-21 0.640 0.6999 0.6400 0.6871 193489.0
2017-12-22 0.670 0.6900 0.6300 0.6484 162037.0
2017-12-23 0.646 0.6690 0.6314 0.6600 36729.0
2017-12-26 00:00:00 trade order ZSAN VXLELNXHWMSL quantity 1 limit_prc 12.274
'''