| Overall Statistics |
|
Total Trades 7 Average Win 42.76% Average Loss -6.79% Compounding Annual Return 42.552% Drawdown 20.300% Expectancy 1.433 Net Profit 42.552% Sharpe Ratio 1.505 Probabilistic Sharpe Ratio 61.693% Loss Rate 67% Win Rate 33% Profit-Loss Ratio 6.30 Alpha 0.387 Beta -0.02 Annual Standard Deviation 0.255 Annual Variance 0.065 Information Ratio 0.462 Tracking Error 0.401 Treynor Ratio -19.63 Total Fees $17.50 Estimated Strategy Capacity $420000000.00 |
class BCTask_BuyHoldTrailStop(QCAlgorithm):
# Order ticket for our stop order, Datetime when stop order was last hit
stopMarketTicket = None
stopMarketOrderFillTime = datetime.min
highestSPYPrice = -1
def Initialize(self):
self.SetStartDate(2020, 1, 1)
self.SetEndDate(2020, 12, 30)
self.SetCash(100000)
spy = self.AddEquity("SPY", Resolution.Daily)
spy.SetDataNormalizationMode(DataNormalizationMode.Raw)
def OnData(self, data):
# 1. Plot the current SPY price to "Data Chart" on series "Asset Price"
self.Plot("Data Chart", "Asset Price", data["SPY"].Close)
if (self.Time - self.stopMarketOrderFillTime).days < 15:
return
if not self.Portfolio.Invested:
self.MarketOrder("SPY", 500)
self.stopMarketTicket = self.StopMarketOrder("SPY", -500, 0.9 * self.Securities["SPY"].Close)
else:
#2. Plot the moving stop price on "Data Chart" with "Stop Price" series name
self.Plot("Data Chart", "Stop Price", self.stopMarketTicket.Get(OrderField.StopPrice))
if self.Securities["SPY"].Close > self.highestSPYPrice:
self.highestSPYPrice = self.Securities["SPY"].Close
updateFields = UpdateOrderFields()
updateFields.StopPrice = self.highestSPYPrice * 0.9
self.stopMarketTicket.Update(updateFields)
def OnOrderEvent(self, orderEvent):
if orderEvent.Status != OrderStatus.Filled:
return
if self.stopMarketTicket is not None and self.stopMarketTicket.OrderId == orderEvent.OrderId:
self.stopMarketOrderFillTime = self.Time