| Overall Statistics |
|
Total Trades 2 Average Win 0% Average Loss -8.59% Compounding Annual Return -70.309% Drawdown 20.200% Expectancy -1 Net Profit -8.591% Sharpe Ratio -1.082 Probabilistic Sharpe Ratio 13.839% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.483 Beta -1.088 Annual Standard Deviation 0.662 Annual Variance 0.438 Information Ratio -1.253 Tracking Error 0.742 Treynor Ratio 0.658 Total Fees $11.10 |
class TransdimensionalResistanceFlange(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019, 8, 6) # Set Start Date
self.SetEndDate(2019, 9, 1)
self.SetCash(100000) # Set Strategy Cash
future = self.AddFuture("GC")
future.SetFilter(0, 150)
self.contract = None
self.SetSecurityInitializer(lambda security : security.SetMarketPrice(self.GetLastKnownPrice(security)))
def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
Arguments:
data: Slice object keyed by symbol containing the stock data
'''
if self.contract is None:
for chain in data.FutureChains:
contracts = [c for c in chain.Value]
aug_expiry = [c.Symbol for c in contracts if c.Expiry.month == 8]
if(len(aug_expiry)>0):
self.contract = aug_expiry[0]
self.MarketOrder(self.contract, 3)
self.StopMarketOrder(self.contract, -3, 1432.30)
def OnOrderEvent(self, orderEvent):
self.Debug(f"Order Event: {orderEvent} Symbol: {orderEvent.Symbol} , Market Price: {self.Securities[orderEvent.Symbol].Price}")