| Overall Statistics |
|
Total Orders 2 Average Win 1.38% Average Loss 0% Compounding Annual Return 0.344% Drawdown 1.400% Expectancy 0 Start Equity 100000 End Equity 101382.34 Net Profit 1.382% Sharpe Ratio -0.798 Sortino Ratio -0.441 Probabilistic Sharpe Ratio 5.627% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha -0.009 Beta 0.029 Annual Standard Deviation 0.007 Annual Variance 0 Information Ratio -0.96 Tracking Error 0.104 Treynor Ratio -0.2 Total Fees $2.00 Estimated Strategy Capacity $2800000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 0.02% |
# region imports
from AlgorithmImports import *
# endregion
class FocusedApricotJackal(QCAlgorithm):
'''Basic algorithm demonstrating how to place stop limit orders.'''
Tolerance = 0.001
FastPeriod = 30
SlowPeriod = 60
def Initialize(self):
self.SetStartDate(2013, 1, 1)
self.SetEndDate(2017, 1, 1)
self.SetCash(100000)
FastPeriod = self.GetParameter('ema-fast', 30)
self._symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self._fast = self.EMA(self._symbol, self.FastPeriod, Resolution.Daily)
self._slow = self.EMA(self._symbol, self.SlowPeriod, Resolution.Daily)
self._buyOrderTicket: OrderTicket = None
self._sellOrderTicket: OrderTicket = None
self._previousSlice: Slice = None
def OnData(self, slice: Slice):
if not self.IsReady():
return
security = self.Securities[self._symbol]
if self._buyOrderTicket is None and self.TrendIsUp():
self._buyOrderTicket = self.StopLimitOrder(self._symbol, 100, stopPrice=security.High * 1.10, limitPrice=security.High * 1.11)
elif self._buyOrderTicket.Status == OrderStatus.Filled and self._sellOrderTicket is None and self.TrendIsDown():
self._sellOrderTicket = self.StopLimitOrder(self._symbol, -100, stopPrice=security.Low * 0.99, limitPrice=security.Low * 0.98)
def OnOrderEvent(self, orderEvent: OrderEvent):
if orderEvent.Status == OrderStatus.Filled:
order: StopLimitOrder = self.Transactions.GetOrderById(orderEvent.OrderId)
if not order.StopTriggered:
raise Exception("StopLimitOrder StopTriggered should haven been set if the order filled.")
if orderEvent.Direction == OrderDirection.Buy:
limitPrice = self._buyOrderTicket.Get(OrderField.LimitPrice)
if orderEvent.FillPrice > limitPrice:
raise Exception(f"Buy stop limit order should have filled with price less than or equal to the limit price {limitPrice}. "
f"Fill price: {orderEvent.FillPrice}")
else:
limitPrice = self._sellOrderTicket.Get(OrderField.LimitPrice)
if orderEvent.FillPrice < limitPrice:
raise Exception(f"Sell stop limit order should have filled with price greater than or equal to the limit price {limitPrice}. "
f"Fill price: {orderEvent.FillPrice}")
def IsReady(self):
return self._fast.IsReady and self._slow.IsReady
def TrendIsUp(self):
return self.IsReady() and self._fast.Current.Value > self._slow.Current.Value * (1 + self.Tolerance)
def TrendIsDown(self):
return self.IsReady() and self._fast.Current.Value < self._slow.Current.Value * (1 + self.Tolerance)