Overall Statistics
Total Trades
3487
Average Win
2.74%
Average Loss
-1.02%
Compounding Annual Return
47.638%
Drawdown
33.900%
Expectancy
0.255
Net Profit
4831.926%
Sharpe Ratio
1.122
Loss Rate
66%
Win Rate
34%
Profit-Loss Ratio
2.70
Alpha
0.364
Beta
0.115
Annual Standard Deviation
0.331
Annual Variance
0.109
Information Ratio
0.848
Tracking Error
0.366
Treynor Ratio
3.222
Total Fees
$75890.83
using QuantConnect.Data.Consolidators;

namespace QuantConnect 
{   
    /*
    *   John Ehlers' MAMA and FAMA 
    *	(programmed by Jean-Paul van Brakel)
    */
    public class BasicTemplateAlgorithm : QCAlgorithm
    {
    	public string _ticker = "AAPL"; 				// which stock ticker
    	public static int _consolidated_minutes = 10;	// number of minutes
		public static double MAMA_FastLimit = 0.10;		// fast parameter
		public static double MAMA_SlowLimit = 0.001;	// slow parameter
		private TradeBarConsolidator consolidator;
		private readonly RollingWindow<double> Prices 		= new RollingWindow<double>(9);
        private readonly RollingWindow<double> Smooths 		= new RollingWindow<double>(9);
		private readonly RollingWindow<double> Periods 		= new RollingWindow<double>(9);
		private readonly RollingWindow<double> Detrenders	= new RollingWindow<double>(9);
		private readonly RollingWindow<double> Q1s 			= new RollingWindow<double>(9);
		private readonly RollingWindow<double> I1s 			= new RollingWindow<double>(9);
		private readonly RollingWindow<double> Q2s 			= new RollingWindow<double>(9);
		private readonly RollingWindow<double> I2s 			= new RollingWindow<double>(9);
		private readonly RollingWindow<double> Res 			= new RollingWindow<double>(9);
		private readonly RollingWindow<double> Ims 			= new RollingWindow<double>(9);
		private readonly RollingWindow<double> SmoothPeriods= new RollingWindow<double>(9);
		private readonly RollingWindow<double> Phases 		= new RollingWindow<double>(9);
		private readonly RollingWindow<double> MAMAs 		= new RollingWindow<double>(9);
		private readonly RollingWindow<double> FAMAs 		= new RollingWindow<double>(9);
		private Chart plotter;
		decimal _oldprice = 100000;
		decimal _price;
		int _old_dir = 0;
		int _mama_dir = 0;
		int _trend_dir = 0;
		decimal pps = 0;
    	
        public override void Initialize() 
        {
            //Start and End Date range for the backtest:
            SetStartDate(2005, 1, 1);         
            SetEndDate(2015, 1, 1);
            SetCash(10000);
            AddSecurity(SecurityType.Equity, _ticker, Resolution.Minute);
            consolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(_consolidated_minutes));
            consolidator.DataConsolidated += ConsolidatedHandler;
            SubscriptionManager.AddConsolidator(_ticker, consolidator);
            
            plotter = new Chart("MAMA", 			ChartType.Overlay);
	        plotter.AddSeries(new Series("Price", 	SeriesType.Line));
			plotter.AddSeries(new Series("MAMA", 	SeriesType.Line));
			plotter.AddSeries(new Series("FAMA", 	SeriesType.Line));
			AddChart(plotter);
			
			//Warm up the variables
			for (int i = 0; i < 7; i++) {
				Periods.Add(0.0);
				Smooths.Add(0.0);
				Detrenders.Add(0.0);
				Q1s.Add(0.0);
				I1s.Add(0.0);
				Q2s.Add(0.0);
				I2s.Add(0.0);
				Res.Add(0.0);
				Ims.Add(0.0);
				SmoothPeriods.Add(0.0);
				Phases.Add(0.0);
				MAMAs.Add(0.0);
				FAMAs.Add(0.0);
			}
        }

        public void OnData(TradeBars data) 
        {   
        	// ignore this for now
        }
        
        public void ConsolidatedHandler(object sender, TradeBar data) {
        	Prices.Add((double)(data.High + data.Low)/2);
        	_price = data.Close;
        	if (!Prices.IsReady) return;
        	
        	// MAMA and FAMA
			// *********************************************************************************************************
			double Smooth = (double) ((4*Prices[0] + 3*Prices[1] + 2*Prices[2] + Prices[3])/10);
			Smooths.Add(Smooth);
			double Detrender = (.0962*Smooths[0] + .5769*Smooths[2] - .5769*Smooths[4] - .0962*Smooths[6])*(.075*Periods[1] + .54);
            Detrenders.Add(Detrender);
            
            // Compute InPhase and Quadrature components
            Q1s.Add((.0962*Detrenders[0] + .5769*Detrenders[2] - .5769*Detrenders[4] - .0962*Detrenders[6])*(.075*Periods[1] + .54));
            I1s.Add(Detrenders[3]);
            
            // Advance the phase of I1 and Q1 by 90 degrees
            double jI = (.0962*I1s[0] + .5769*I1s[2] - .5769*I1s[4] - .0962*I1s[6])*(.075*Periods[1] + .54);
			double jQ = (.0962*Q1s[0] + .5769*Q1s[2] - .5769*Q1s[4] - .0962*Q1s[6])*(.075*Periods[1] + .54);

			// Phasor addition for 3 bar averaging
			double I2 = I1s[0] - jQ;
            double Q2 = Q1s[0] + jI;

			// Smooth the I and Q components before applying the discriminator
			I2s.Add(.2*I2 + .8*I2s[0]);
			Q2s.Add(.2*Q2 + .8*Q2s[0]);

			// Homodyne Discriminator
			double Re = I2s[0]*I2s[1] + Q2s[0]*Q2s[1];
			double Im = I2s[0]*Q2s[1] - Q2s[0]*I2s[1];
			Res.Add(.2*Re + .8*Res[0]);
			Ims.Add(.2*Im + .8*Ims[0]);
			double Period = 0;
			if (Im != 0 && Re != 0)
				Period = (2*Math.PI)/Math.Atan(Im/Re);
			if (Period > 1.5*Periods[0]) 
				Period = 1.5*Periods[0];
			if (Period < .67*Periods[0]) 
				Period = .67*Periods[0];
			if (Period < 6) 
				Period = 6;
			if (Period > 50)
				Period = 50;
			Periods.Add(.2*Period + .8*Periods[0]);
			SmoothPeriods.Add(.33*Periods[0] + .67*SmoothPeriods[0]);
			
			if (I1s[0] != 0)
				Phases.Add(Math.Atan(Q1s[0] / I1s[0]));
			double DeltaPhase = Phases[1] - Phases[0];
			if (DeltaPhase < 1)
				DeltaPhase = 1;
			double alpha = MAMA_FastLimit / DeltaPhase;
			if (alpha < MAMA_SlowLimit) 
				alpha = MAMA_SlowLimit;
			MAMAs.Add(alpha*Prices[0] + (1 - alpha)*MAMAs[0]);
			FAMAs.Add(.5*alpha*MAMAs[0] + (1 - .5*alpha)*FAMAs[0]);
			
			if (MAMAs[0] > FAMAs[0]) {
				_trend_dir = 1;
			} else if (MAMAs[0] < FAMAs[0]) {
				_trend_dir = -1;
			}
			
			if (MAMAs[0] > MAMAs[1]) {
				_mama_dir = 1;
			} else if (MAMAs[0] < MAMAs[1]) {
				_mama_dir = -1;
			}
			// *********************************************************************************************************
            
            // Update chart
			if (Math.Abs(FAMAs[0] - Prices[0]) < 5) {
				Plot("MAMA", "price", Prices[0]);
	            Plot("MAMA", "MAMA",  MAMAs[0]);
	            Plot("MAMA", "FAMA",  FAMAs[0]);	
			}
            
            // Order logic / (simple) risk management
            if (Portfolio[_ticker].IsShort==true) {
            	pps = ((_oldprice - _price)/_oldprice)*100;
    		} else {
            	pps = ((_price - _oldprice)/_oldprice)*100;
    		}
            
            if (pps <= -2.5M || _trend_dir != _old_dir) { 	// if direction is wrong
            	// End position
            	Liquidate(_ticker);
            }
            
            if (!Portfolio.HoldStock) {
            	int quantity = (int)Math.Floor(Portfolio.Cash / data.Close);
	            if (_trend_dir != _old_dir) {
	            	if (quantity > 0)
	            		Order(_ticker,  _trend_dir*quantity);
	            		_oldprice = _price;
	            	_old_dir = _trend_dir;
	            }
            }
        }
    }
}