Overall Statistics |
Total Trades 31 Average Win 4.41% Average Loss -3.12% Compounding Annual Return 11.613% Drawdown 14.700% Expectancy 0.607 Net Profit 39.068% Sharpe Ratio 1.081 Probabilistic Sharpe Ratio 51.317% Loss Rate 33% Win Rate 67% Profit-Loss Ratio 1.41 Alpha 0.089 Beta 0.2 Annual Standard Deviation 0.114 Annual Variance 0.013 Information Ratio -0.223 Tracking Error 0.21 Treynor Ratio 0.617 Total Fees $77.63 Estimated Strategy Capacity $73000000.00 |
class TrailingStopLoss(QCAlgorithm): def Initialize(self): self.SetStartDate(2018, 1, 1) self.SetEndDate(2021, 1, 1) self.SetCash(100000) self.qqq = self.AddEquity("QQQ", Resolution.Hour).Symbol self.entryTicket = None self.stopMarketTicket = None self.entryTime = datetime.min self.stopMarketOrderFillTime = datetime.min self.highestPrice = 0 def OnData(self, data): # wait 30 days after last exit if (self.Time - self.stopMarketOrderFillTime).days < 30: return price = self.Securities[self.qqq].Price # send entry limit order if not self.Portfolio.Invested and not self.Transactions.GetOpenOrders(self.qqq): quantity = self.CalculateOrderQuantity(self.qqq, 0.9) self.entryTicket = self.LimitOrder(self.qqq, quantity, price, "Entry Order") self.entryTime = self.Time # move limit price if not filled after 1 day if (self.Time - self.entryTime).days > 1 and self.entryTicket.Status != OrderStatus.Filled: self.entryTime = self.Time updateFields = UpdateOrderFields() updateFields.LimitPrice = price self.entryTicket.Update(updateFields) if self.stopMarketTicket is not None and self.Portfolio.Invested: # move up trailing stop price if price > self.highestPrice: self.highestPrice = price updateFields = UpdateOrderFields() updateFields.StopPrice = price * 0.95 self.stopMarketTicket.Update(updateFields) #self.Debug(updateFields.StopPrice) def OnOrderEvent(self, orderEvent): if orderEvent.Status != OrderStatus.Filled: return # send stop loss order if entry limit order is filled if self.entryTicket is not None and self.entryTicket.OrderId == orderEvent.OrderId: self.stopMarketTicket = self.StopMarketOrder(self.qqq, -self.entryTicket.Quantity, 0.95 * self.entryTicket.AverageFillPrice) # save fill time of stop loss order (and reset highestPrice) if self.stopMarketTicket is not None and self.stopMarketTicket.OrderId == orderEvent.OrderId: self.stopMarketOrderFillTime = self.Time self.highestPrice = 0