| Overall Statistics |
|
Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio -0.472 Tracking Error 0.2 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 |
from clr import AddReference
AddReference("QuantConnect.Common")
AddReference("QuantConnect.Indicators")
from QuantConnect import *
from QuantConnect.Indicators import *
class EmotionalGreenCormorant(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2008, 6, 10) # Set Start Date
self.SetEndDate(2015, 2, 25)
self.SetCash(100000) # Set Strategy Cash
self.audusd = self.AddForex("AUDUSD", Resolution.Hour, Market.FXCM)
self.atr = self.ATR("AUDUSD", 14, MovingAverageType.Simple, Resolution.Hour)
self.atr_str = str(self.atr)
self.atr_float = float(self.atr_str)
self.sma_atr = IndicatorExtensions.SMA(self.atr, 10)
self.smaatrstr = str(self.sma_atr)
self.smatr_float = float(self.smaatrstr)
self.alma_fast = self.ALMA("AUDUSD", 48, Resolution.Hour)
self.alma_slow = self.ALMA("AUDUSD", 74, Resolution.Hour)
self.baseline = self.ALMA("AUDUSD", 598, Resolution.Hour)
self.ordersize = 100000
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
'''
self.blim = self.audusd.Close + self.atr_float
self.slim = self.audusd.Close - self.atr_float
self.bstop = self.audusd.Close - self.atr_float * 1.5
self.sstop = self.audusd.Close + self.atr_float * 1.5
if not self.Portfolio.Invested:
if self.atr_float > self.smatr_float and self.alma_fast > self.alma_slow and self.audusd.Close > self.alma_fast and self.audusd.Close > self.alma_slow and self.audusd.Close > self.baseline:
self.Buy("AUDUSD", 100000)
self.LimitOrder("AUDUSD", 100000, self.blim)
self.StopMarketOrder("AUDUSD", 100000, self.bstop)
if not self.Portfolio.Invested:
if self.atr_float > self.smatr_float and self.alma_fast < self.alma_slow and self.audusd.Close < self.alma_fast and self.audusd.Close < self.alma_slow and self.audusd.Close < self.baseline:
self.Sell("AUDUSD", 100000)
self.LimitOrder("AUDUSD", 100000, self.slim)
self.StopMarketOrder("AUDUSD", 100000, self.sstop)
def OnOrderEvent(self, orderEvent):
if order.Status == OrderStatus.Filled:
if order.Type == OrderType.Limit or order.Type == OrderType.StopMarket:
self.Transactions.CancelOpenOrders(order.Symbol)