| Overall Statistics |
|
Total Trades 1301 Average Win 0.01% Average Loss -0.01% Compounding Annual Return 0.693% Drawdown 1.500% Expectancy -0.106 Net Profit 0.180% Sharpe Ratio 0.179 Probabilistic Sharpe Ratio 30.853% Loss Rate 54% Win Rate 46% Profit-Loss Ratio 0.94 Alpha 0.011 Beta 0.057 Annual Standard Deviation 0.029 Annual Variance 0.001 Information Ratio 0.676 Tracking Error 0.168 Treynor Ratio 0.092 Total Fees $0.00 Estimated Strategy Capacity $280000.00 Lowest Capacity Asset NZDUSD 8G |
# Forex Intraday Strategy v2
# https://www.quantconnect.com/forum/discussion/13418/intraday-mean-reversion-strategy-helpneed
# ------------------------------------------------------------------------
ASSETS = ["EURUSD","GBPUSD","AUDUSD","NZDUSD","USDCHF","USDJPY","USDCAD"];
MA = 15; STD = 8; STD_MAX = 15;
# ------------------------------------------------------------------------
class IntradayMR_FX(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2022, 1, 1)
self.SetCash(1000000)
self.assets = [self.AddForex(ticker, Resolution.Daily).Symbol for ticker in ASSETS]
self.std = {}; self.ma = {}; self.YestHigh = {}; self.YestLow = {};
for sec in self.assets:
self.ma[sec] = self.SMA(sec, MA, Resolution.Daily)
self.std[sec] = self.STD(sec, STD, Resolution.Daily)
self.YestHigh[sec] = self.SMA(sec, 1, Resolution.Daily, Field.High)
self.YestLow[sec] = self.SMA(sec, 1, Resolution.Daily, Field.Low)
self.selected = []
self.SetWarmUp(MA, Resolution.Daily)
def OnData(self, data):
if self.IsWarmingUp: return
for sec in self.assets:
if not (self.ma[sec].IsReady and self.std[sec].IsReady): continue
if not (self.YestHigh[sec].IsReady and self.YestLow[sec].IsReady): continue
ma = self.ma[sec].Current.Value
std = self.std[sec].Current.Value
O = self.Securities[sec].Open
YH = self.YestHigh[sec].Current.Value
YL = self.YestLow[sec].Current.Value
if not self.Portfolio[sec].Invested:
if abs(O - YL) < std and O > ma and std <= STD_MAX:
self.selected.append(sec)
elif self.Portfolio[sec].Invested:
if (abs(O - YH) > std and O < ma) or std > STD_MAX:
self.Liquidate(sec)
for sec in self.selected:
self.SetHoldings(sec, 1/len(self.selected))