| Overall Statistics |
|
Total Trades 2 Average Win 0.76% Average Loss 0% Compounding Annual Return 7.386% Drawdown 0.000% Expectancy 0 Net Profit 0.758% Sharpe Ratio 2.641 Probabilistic Sharpe Ratio 88.940% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0.06 Beta -0.025 Annual Standard Deviation 0.02 Annual Variance 0 Information Ratio -1.807 Tracking Error 0.165 Treynor Ratio -2.069 Total Fees $2.00 Estimated Strategy Capacity $45000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
# region imports
from AlgorithmImports import *
# endregion
MA_FAST = 12; MA_SLOW = 26; MA_SIGNAL = 9; TYPE = "Exponential"
class MACD_SignalCrossover(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2008, 1, 19)
self.SetEndDate(2008, 2, 26)
self.SetCash(1000)
self.AddEquity("SPY", Resolution.Minute).Symbol
self.macd = self.MACD("SPY", MA_FAST, MA_SLOW, MA_SIGNAL, MovingAverageType.Exponential, Resolution.Minute )
#self.macd_ema = IndicatorExtensions.EMA(self.macd, MA_SIGNAL)
self.SetWarmUp(MA_SLOW*5)
self.bot = False
def OnData(self, data):
if self.bot: return
if self.IsWarmingUp: return
macd = self.macd.Current.Value
macd_signal = self.macd.Signal.Current.Value
#macd_signal_2 = self.macd_ema.Current.Value
self.Plot("MACD", "macd_signal", self.macd.Signal.Current.Value)
#self.Plot("MACD", "macd_ema", self.macd_ema.Current.Value)
self.Plot("MACD", "Zero", 0)
if macd > macd_signal:
quantity = self.CalculateOrderQuantity("SPY", 1)
fill_price = self.MarketOrder("SPY", quantity).AverageFillPrice
self.bot = True
self.LimitOrder("SPY", -quantity, 1.01 * fill_price)