| 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 -0.791 Tracking Error 0.141 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset |
#region imports
from AlgorithmImports import *
#endregion
# Your New Python File
# In Initialize()
BAR = 2; STOCK = "SPY"
class TestHA(QCAlgorithm):
def Initialize(self):
self.SetStartDate(DateTime(2010, 5, 17, 9, 30, 0))
self.SetEndDate(DateTime(2021, 12, 1, 16, 0, 0))
self.SetCash(200000)
self.symbol = self.AddEquity(STOCK, Resolution.Hour).Symbol
consolidator = TradeBarConsolidator(timedelta(hours = BAR))
self.Consolidate(self.symbol, timedelta(hours = BAR), self.BarHandler)
self.heikinashi = self.HeikinAshi(self.symbol, Resolution.Hour)
self.RegisterIndicator(self.symbol, self.heikinashi, consolidator)
self.SetWarmUp(50, Resolution.Hour)
def BarHandler(self, consolidated):
if self.IsWarmingUp: return
if not self.heikinashi.IsReady: return
def IndicatorDataPoint(self, bar):
if self.IsWarmingUp: return
if not self.heikinashi.IsReady: return
if self.heikinashi.IsReady:
open = self.heikinashi.Open.Value
high = self.heikinashi.High.Value
low = self.heikinashi.Low.Value
close = self.heikinashi.Close.Value
volume = self.heikinashi.Volume.Value
current = self.heikinashi.Current.Value
#if self.heikinashi.IsReady:
self.Plot("open", self.heikinashi.Open.Value)
self.Plot("high", self.heikinashi.High.Value)
self.Plot("low", self.heikinashi.Low.Value)
self.Plot("close", self.heikinashi.Close.Value)
self.Plot("volume", self.heikinashi.Volume.Value)
self.Plot("heikinashi", self.heikinashi.Current.Value)
if not self.Portfolio[self.symbol].IsLong:
#if 2 > 1:
if self.heikinashi.Current.Value > close:
#if self.heikinashi.Current.Value > self.heikinashi.Open.Value:
self.SetHoldings(self.symbol, 1, True, "Buy Signal")
elif not self.Portfolio[self.symbol].IsShort:
#if 2 < 1:
if self.heikinashi.Current.Value < close:
#elif self.heikinashi.Current.Value < self.heikinashi.Close.Value:
self.SetHoldings(self.symbol, -1, True, "Sell Signal")
#region imports
from AlgorithmImports import *
#endregion
# Trading QC Super Trend Indicator
# --------------------------------------------
STOCK = "QQQ"; BAR =20; SL = -0.0745; TP = 0.04; #ATR = 1; MULT = 1; #wil m 0.2 and kama 0.16 spy 3 0.1.. A1M0.1 A2M0.2 A1M0.16
# --------------------------------------------
obv_SMA = 10; # Also used for HA sma smoothing
#-----------------------------------------------------
#2010-2022,
#STOCK = "QQQ"; BAR =1; SL = -0.0745; TP = 0.02; ATR = 39; MULT = 1... obv_SMA = 10... hour
# 616% 29%dd
#if self.Securities[self.stock].High < (self.heikin_ashiSMA.Current.Value)*1.04:
#elif self.Securities[self.stock].Low > (self.heikin_ashiSMA.Current.Value)*0.96:
#
#--------------------------------
#STOCK = "QQQ"; BAR =125; SL = -0.9745; TP = 0.05; ATR = 30; MULT = 1 , obv_SMA = 20 / Hour
# 900 % and 16%dd self.mari which is st + haSMA ?? cant find it ohhh
#679% 29%dd self.mari hour with 129 orders........ if use sl 0.0745 profit is 580% dd 20
#
# if self.Securities[self.stock].High < (self.mari.Current.Value)*1.05
# elif self.Securities[self.stock].Low > (self.mari.Current.Value)*0.95
#
#
#------------------------------------------------------
# STOCK = "QQQ"; BAR =1; SL = -0.0745; TP = 0.05; ATR = 39; MULT = 1;.. Hour obv 725
#if self.Securities[self.stock].High < (self.heikin_ashi.Current.Value)*1.05:
#elif self.Securities[self.stock].Low > (self.heikin_ashi.Current.Value)*0.95:
#679% dd30 with 13 orders
# if change bars to minute , 683% 30dd with 200 orders
#--------------------------------------------------------------
class SuperTrendIndicator(QCAlgorithm):
def Initialize(self):
self.SetStartDate(DateTime(2010, 5, 17, 9, 30, 0))
self.SetEndDate(DateTime(2021, 12, 1, 16, 0, 0))
self.SetCash(200000)
res = Resolution.Hour
ATR = int(self.GetParameter("ATR_A"))
MULT = float(self.GetParameter("MULT_A"))
#BAR = int(self.GetParameter("BAR_A"))
#Risk Management
#self.SetRiskManagement(MaximumDrawdownPercentPerSecurity(0.05))
#self.SetRiskManagement(TrailingStopRiskManagementModel(0.2545 ))
#self.SetExecution(ImmediateExecutionModel())
self.stock = self.AddEquity(STOCK, res, extendedMarketHours = True).Symbol
consolidator = TradeBarConsolidator(timedelta(hours = BAR))
self.Consolidate(self.stock, timedelta(hours = BAR), self.BarHandler)
self.st = SuperTrend(ATR, MULT, MovingAverageType.Wilders) #, MovingAverageType.Wilders
self.RegisterIndicator(self.stock, self.st, consolidator)
#self.heikin_ashi = self.HeikinAshi(STOCK, Resolution.Minute)
self.heikin_ashi = self.HeikinAshi(self.stock, Resolution.Hour)
self.RegisterIndicator(self.stock, self.heikin_ashi, consolidator)
self.heikin_ashiSMA = IndicatorExtensions.SMA(self.heikin_ashi, obv_SMA)
#self.mari = IndicatorExtensions.Over(self.heikin_ashiSMA, self.st) # extension, uhhmmm
self.mari = IndicatorExtensions.Over(IndicatorExtensions.Plus(self.st, self.heikin_ashi), 2)
#OBV
self.obv = self.OBV(STOCK, Resolution.Daily)
self.RegisterIndicator(STOCK, self.obv, TradeBarConsolidator(timedelta(days = BAR)))
self.obvSMA = IndicatorExtensions.SMA(self.obv, obv_SMA) # Of extension helper for SMA method.
self.SetWarmUp(50*BAR*ATR, res)
def BarHandler(self, consolidated):
if self.IsWarmingUp: return
if not self.st.IsReady: return
if not self.heikin_ashi.IsReady: return
if not self.mari.IsReady: return
if not self.obv.IsReady: return
if not self.obvSMA.IsReady: return
if not self.heikin_ashiSMA.IsReady: return
#if not self.ha_week.IsReady: return # weekly ha
def onData():
if not self.heikin_ashi.IsReady: return
if self.heikin_ashi.IsReady:
open = self.heikin_ashi.Open.Value
high = self.heikin_ashi.High.Value
low = self.heikin_ashi.Low.Value
close = self.heikin_ashi.Close.Value
volume = self.heikin_ashi.Volume.Value
current = self.heikin_ashi.Current.Value
self.Plot(STOCK, "Price", self.Securities[self.stock].Price)
#self.Plot(STOCK, "Super Trend", self.st.Current.Value)
self.Plot(STOCK,"MARI", self.mari.Current.Value)
#self.Plot(STOCK,"HA Current Value", self.heikin_ashi.Current.Value)
#self.Plot(STOCK,"HA SMA 0.97", (self.heikin_ashi.Current.Value)*1)
#self.Plot(STOCK,"HA SMA 1.02", (self.heikin_ashiSMA.Current.Value)*1.02)
#self.Plot(STOCK, "OBV", self.obv.Current.Value)
#self.Plot(STOCK, "OBV SMA 1", (self.obvSMA.Current.Value)*1.1)
#self.Plot(STOCK, "OBV SMA 2 Down", (self.obvSMA.Current.Value)*0.9)
pnl = self.Securities[self.stock].Holdings.UnrealizedProfitPercent
#if not self.Portfolio[self.stock].IsLong:
#if self.obv.Current.Value > (self.obvSMA.Current.Value):
if self.Securities[self.stock].Price > (Close)*1:
#if (self.Securities[self.stock].Close > (self.mari.Current.Value)*0.92): # and (self.obv.Current.Value > (self.obvSMA.Current.Value)*0.99): # and (self.Securities[self.stock].High < self.st.Current.Value): #mari BAR 125 obv_SMA 20 , atr 30 m 1 sl0.945
#if self.mari.Current.Value > (self.heikin_ashiSMA.Current.Value)*0.90:
self.SetHoldings(self.stock, 1, True, "Buy Signal")
elif self.Securities[self.stock].Price < (Close)*1:
#elif not self.Portfolio[self.stock].IsShort: 0.94
#elif (self.Securities[self.stock].Close < (self.mari.Current.Value)*0.92): # and (self.obv.Current.Value > (self.obvSMA.Current.Value)*0.99): # and (self.Securities[self.stock].Low > self.st.Current.Value): # mari BAR 12 obv_SMA 20 , atr 30 m 1 sl0.945
#elif self.mari.Current.Value < (self.heikin_ashiSMA.Current.Value)*0.90:
self.SetHoldings(self.stock, -1, True, "Sell Signal")
#self.Liquidate(self.stock, "Sell Signal")
# if self.Portolio is shoer ... then Stop loss at
if self.Portfolio[self.stock].Invested:
if pnl < SL:
self.Liquidate(self.stock, "Stop Loss")
#elif pnl > TP:
#self.Liquidate(self.stock, "Take Profit")