| Overall Statistics |
|
Total Trades 47 Average Win 0.44% Average Loss -0.17% Compounding Annual Return 0.254% Drawdown 1.400% Expectancy 0.565 Net Profit 3.095% Sharpe Ratio 0.537 Probabilistic Sharpe Ratio 3.164% Loss Rate 57% Win Rate 43% Profit-Loss Ratio 2.60 Alpha -0.001 Beta 0.021 Annual Standard Deviation 0.003 Annual Variance 0 Information Ratio -0.803 Tracking Error 0.138 Treynor Ratio 0.083 Total Fees $47.00 Estimated Strategy Capacity $31000000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
# region imports
from AlgorithmImports import *
# endregion
class UpgradedYellowScorpion(QCAlgorithm):
stopMarketTicket = None
stopMarketOrderFillTime = datetime.min
highestSPYPrice = 200
def Initialize(self):
self.SetStartDate(2010, 1, 1)
self.SetEndDate(2022, 1, 1)
self.SetCash(10000)
spy = self.AddEquity("SPY" , Resolution.Daily)
spy.SetDataNormalizationMode(DataNormalizationMode.Raw)
self.Pair = "SPY"
self.symbols = [self.Pair]
self.prevPrices = { symbol : RollingWindow[TradeBar](7) for symbol in self.symbols }
self.Long = None
self.Short = None
chart = Chart("Enter")
self.AddChart(chart)
chart.AddSeries(Series("update order", SeriesType.Scatter, "$", Color.Green, ScatterMarkerSymbol.Triangle))
chart.AddSeries(Series("Buying and setting stop loss", SeriesType.Scatter, "$", Color.Red, ScatterMarkerSymbol.Triangle))
def OnData(self, data):
self.Plot("Invested", "active or not", len([x.Key for x in self.Portfolio if x.Value.Invested and x.Value.Type==SecurityType.Equity]))
self.Plot("Indicator", "highestSPY price", self.highestSPYPrice)
self.Plot("Indicator", "highestSPY price * value", self.highestSPYPrice * 0.95)
for symbol in self.symbols:
if data.ContainsKey(symbol):
self.prevPrices[symbol].Add( data[symbol] )
if not all([ window.IsReady for window in self.prevPrices.values() ]):
return
Pair1_window = self.prevPrices[self.Pair]
Pair1_1D = Pair1_window[1].Close
Pair1_0D = Pair1_window[0].Close
self.Plot("Indicator", "closing Price", self.Securities ["SPY"].Close)
# long position
if not self.Portfolio.Invested and Pair1_0D < Pair1_1D:
self.Long = self.MarketOrder("SPY", 1)
self.stopMarketTicket = self.StopMarketOrder("SPY", -1, 0.95 * self.Securities["SPY"].Close)
#self.highestSPYPrice = self.Securities ["SPY"].Close
self.Plot("Enter", "Buying and setting stop loss", self.Securities[symbol].Price - 10)
if self.Long is not None and self.Securities ["SPY"].Close > self.highestSPYPrice:
self.Plot("Enter", "update order", self.Securities[symbol].Price - 10)
self.highestSPYPrice = self.Securities ["SPY"].Close
updateFields = UpdateOrderFields()
updateFields.StopPrice = self.highestSPYPrice * 0.95
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