Backtest

Overall Statistics
Total Orders 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Start Equity 100000 End Equity 100000 Net Profit 0% Sharpe Ratio 0 Sortino 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 -4.063 Tracking Error 0.074 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset Portfolio Turnover 0% Drawdown Recovery 0

#region imports
    using System;
    using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Globalization;
    using System.Drawing;
    using QuantConnect;
    using QuantConnect.Algorithm.Framework;
    using QuantConnect.Algorithm.Framework.Selection;
    using QuantConnect.Algorithm.Framework.Alphas;
    using QuantConnect.Algorithm.Framework.Portfolio;
    using QuantConnect.Algorithm.Framework.Portfolio.SignalExports;
    using QuantConnect.Algorithm.Framework.Execution;
    using QuantConnect.Algorithm.Framework.Risk;
    using QuantConnect.Algorithm.Selection;
    using QuantConnect.Api;
    using QuantConnect.Parameters;
    using QuantConnect.Benchmarks;
    using QuantConnect.Brokerages;
    using QuantConnect.Commands;
    using QuantConnect.Configuration;
    using QuantConnect.Util;
    using QuantConnect.Interfaces;
    using QuantConnect.Algorithm;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Auxiliary;
    using QuantConnect.Data.Consolidators;
    using QuantConnect.Data.Custom;
    using QuantConnect.Data.Custom.IconicTypes;
    using QuantConnect.DataSource;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.Shortable;
    using QuantConnect.Data.UniverseSelection;
    using QuantConnect.Notifications;
    using QuantConnect.Orders;
    using QuantConnect.Orders.Fees;
    using QuantConnect.Orders.Fills;
    using QuantConnect.Orders.OptionExercise;
    using QuantConnect.Orders.Slippage;
    using QuantConnect.Orders.TimeInForces;
    using QuantConnect.Python;
    using QuantConnect.Scheduling;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Equity;
    using QuantConnect.Securities.Future;
    using QuantConnect.Securities.Option;
    using QuantConnect.Securities.Positions;
    using QuantConnect.Securities.Forex;
    using QuantConnect.Securities.Crypto;
    using QuantConnect.Securities.CryptoFuture;
    using QuantConnect.Securities.IndexOption;
    using QuantConnect.Securities.Interfaces;
    using QuantConnect.Securities.Volatility;
    using QuantConnect.Storage;
    using QuantConnect.Statistics; 
    using Calendar = QuantConnect.Data.Consolidators.Calendar;
using QLNet;
#endregion

namespace QuantConnect
{ 
    public partial class IntelligentBreakoutAlgorithm : QCAlgorithm
    {
        private HashSet<Symbol> _constituents =  new();
        private Dictionary<Symbol, UniverseProperties> _universe = new ();
        private static Symbol[] _blackList = ["GOOCV VP83T1ZUHROL", "FOXBV X2S9UGTP4UHX"];        
        public static string S = "signal", U = "universe";

        public override void Initialize()
        {
            SetCash(100000);
            SetStartDate(2025, 6, 1);
            
            // Initialization
            UniverseSettings.Leverage = 4;
            Settings.AutomaticIndicatorWarmUp = true;
            UniverseSettings.Resolution = Resolution.Second;
            UniverseSettings.Schedule.On(DateRules.MonthStart());

            // Request Data
            AddUniverse(Universe.ETF("QQQ", Market.USA, UniverseSettings, ETFConstituentsFilter));
            AddUniverse(Universe.ETF("SPY", Market.USA, UniverseSettings, ETFConstituentsFilter));
            AddUniverse(Universe.ETF("IWM", Market.USA, UniverseSettings, ETFConstituentsFilter));
            AddUniverse(Filter);
        }

        public override void OnSecuritiesChanged(SecurityChanges changes)
        { 
            // foreach(var security in changes.AddedSecurities) 
            // {
            //     security[S] = new IntelligentBreakoutSignal(this, security);
            // }

            // foreach(var security in changes.RemovedSecurities)
            // {
            //     security.Get<IntelligentBreakoutSignal>(S).Dispose();
            // }
        }
    }
}

#region imports
using System;
using System.Collections;
using System.Collections.Generic;
using System.Linq;
using System.Globalization;
using System.Drawing;
using QuantConnect;
using QuantConnect.Algorithm.Framework;
using QuantConnect.Algorithm.Framework.Selection;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Portfolio.SignalExports;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Algorithm.Selection;
using QuantConnect.Api;
using QuantConnect.Parameters;
using QuantConnect.Benchmarks;
using QuantConnect.Brokerages;
using QuantConnect.Commands;
using QuantConnect.Configuration;
using QuantConnect.Util;
using QuantConnect.Interfaces;
using QuantConnect.Algorithm;
using QuantConnect.Indicators;
using QuantConnect.Data;
using QuantConnect.Data.Auxiliary;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Custom;
using QuantConnect.Data.Custom.IconicTypes;
using QuantConnect.DataSource;
using QuantConnect.Data.Fundamental;
using QuantConnect.Data.Market;
using QuantConnect.Data.Shortable;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Notifications;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.OptionExercise;
using QuantConnect.Orders.Slippage;
using QuantConnect.Orders.TimeInForces;
using QuantConnect.Python;
using QuantConnect.Scheduling;
using QuantConnect.Securities;
using QuantConnect.Securities.Equity;
using QuantConnect.Securities.Future;
using QuantConnect.Securities.Option;
using QuantConnect.Securities.Positions;
using QuantConnect.Securities.Forex;
using QuantConnect.Securities.Crypto;
using QuantConnect.Securities.CryptoFuture;
using QuantConnect.Securities.IndexOption;
using QuantConnect.Securities.Interfaces;
using QuantConnect.Securities.Volatility;
using QuantConnect.Storage;
using QuantConnect.Statistics; 
using Calendar = QuantConnect.Data.Consolidators.Calendar;
using QLNet;
#endregion

namespace QuantConnect
{ 
    class IntelligentBreakoutSignal 
    {
        public decimal Price => _security.Price;
        public Symbol Symbol => _security.Symbol;
        public bool Triggered => RelativeVolume > 1.0m && _atr > (Price * 0.01m) && Price != 0;
        public decimal RelativeVolume;

        // Signal settings:
        private TradeBar _bar;
        private Security _security;
        private QCAlgorithm _algorithm;
        private AverageTrueRange _atr;
        private SimpleMovingAverage _sma; 
        private IDataConsolidator _consolidator;

        // Risk settings:
        private int _lookback = 14;
        private decimal _stopLossAtrDistance = 0.1m; // 0.1 => 10% of ATR
        private decimal _stopLossRiskSize = 0.01m; // 0.01 => Lose 1% of the portfolio
        private int _maxPositions = 20;

        // Trade settings:
        private OrderTicket _entry;
        private OrderTicket _exit;
        private decimal _stopPrice;

        public IntelligentBreakoutSignal(QCAlgorithm algorithm, Security security) 
        {
            _security = security;
            _algorithm = algorithm;
            _bar = new TradeBar();

            _sma = new SimpleMovingAverage(_lookback);
            _atr = algorithm.ATR(security.Symbol, _lookback, resolution: Resolution.Daily);
            _consolidator = algorithm.Consolidate(security.Symbol, TimeSpan.FromMinutes(5), Range);
        }

        public void Scan() 
        {
            // Calculate position sizes so that if you fill an order at the high (low) of the first 5-minute bar 
            // and hit a stop loss based on 10% of the ATR, you only lose x% of portfolio value.
            if (_bar.Close > _bar.Open)
            {
                PlaceTrade(_bar.High, _bar.High - _stopLossAtrDistance * _atr);
            }
            else if (_bar.Close < _bar.Open)
            {
                PlaceTrade(_bar.Low, _bar.Low + _stopLossAtrDistance * _atr);
            }
        }

        public void PlaceTrade(decimal entryPrice, decimal stopPrice)
        {
            var quantity = (int)((_stopLossRiskSize * _algorithm.Portfolio.TotalPortfolioValue / _maxPositions) / (entryPrice - stopPrice));
            var quantityLimit = _algorithm.CalculateOrderQuantity(_security.Symbol, 1m/_maxPositions);
            quantity = (int)(Math.Min(Math.Abs(quantity), quantityLimit) * Math.Sign(quantity));
            if (quantity != 0)
            {
                _stopPrice = stopPrice;
                //_entry = _algorithm.StopMarketOrder(_security.Symbol, quantity, entryPrice, $"Entry");
            }
        }

        public void OnOrderEvent(OrderTicket orderTicket)
        {
            // When the entry order is hit, place the exit order: Stop loss based on ATR.
            // if (orderTicket == EntryTicket)
            // {
            //     _algorithm.StopMarketOrder(_security.Symbol, -EntryTicket.Quantity, StopLossPrice, tag: "ATR Stop");
            // }
        }

        public void Dispose() 
        {
            _algorithm.DeregisterIndicator(_atr);
        }

        private void Range(TradeBar bar)
        {
            if (_bar.Time.Date == bar.Time.Date) return;
            // Update the asset's indicators and save the day's opening bar.
            RelativeVolume = _sma.IsReady && _sma > 0 ? bar.Volume / _sma : 0;
            _sma.Update(bar.EndTime, bar.Volume);
            _bar = bar;
        }
    }
}

#region imports
using System;
using System.Collections;
using System.Collections.Generic;
using System.Linq;
using System.Globalization;
using System.Drawing;
using QuantConnect;
using QuantConnect.Algorithm.Framework;
using QuantConnect.Algorithm.Framework.Selection;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Portfolio.SignalExports;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Algorithm.Selection;
using QuantConnect.Api;
using QuantConnect.Parameters;
using QuantConnect.Benchmarks;
using QuantConnect.Brokerages;
using QuantConnect.Commands;
using QuantConnect.Configuration;
using QuantConnect.Util;
using QuantConnect.Interfaces;
using QuantConnect.Algorithm;
using QuantConnect.Indicators;
using QuantConnect.Data;
using QuantConnect.Data.Auxiliary;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Custom;
using QuantConnect.Data.Custom.IconicTypes;
using QuantConnect.DataSource;
using QuantConnect.Data.Fundamental;
using QuantConnect.Data.Market;
using QuantConnect.Data.Shortable;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Notifications;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.OptionExercise;
using QuantConnect.Orders.Slippage;
using QuantConnect.Orders.TimeInForces;
using QuantConnect.Python;
using QuantConnect.Scheduling;
using QuantConnect.Securities;
using QuantConnect.Securities.Equity;
using QuantConnect.Securities.Future;
using QuantConnect.Securities.Option;
using QuantConnect.Securities.Positions;
using QuantConnect.Securities.Forex;
using QuantConnect.Securities.Crypto;
using QuantConnect.Securities.CryptoFuture;
using QuantConnect.Securities.IndexOption;
using QuantConnect.Securities.Interfaces;
using QuantConnect.Securities.Volatility;
using QuantConnect.Storage;
using QuantConnect.Statistics; 
using Calendar = QuantConnect.Data.Consolidators.Calendar;
using QLNet;
#endregion

namespace QuantConnect
{ 
    public partial class IntelligentBreakoutAlgorithm : QCAlgorithm
    {
        IEnumerable<Symbol> ETFConstituentsFilter(IEnumerable <ETFConstituentUniverse> constituents)
        {
            _constituents.UnionWith(constituents.Select(x => x.Symbol));
            return Universe.Unchanged;
        }

        IEnumerable<Symbol> Filter(IEnumerable<Fundamental> fundamental)
        {
            var selected = from f in fundamental 
                            where _constituents.Contains(f.Symbol) && 
                            !_blackList.Contains(f.Symbol) && 
                            f.Price > 100m select f;

            foreach(var f in selected) 
            {
                if (!_universe.TryGetValue(f.Symbol, out UniverseProperties assetProperties))
                {
                    assetProperties = new UniverseProperties(this, f.Symbol);
                    _universe[f.Symbol] = assetProperties;
                }
                assetProperties.Update(f.Time, f.Price, (decimal)f.DollarVolume);
            }

            var ranked =    (from f in _universe.Values 
                            where f.RelativeVolatility > 0.04m
                            orderby f.DollarVolume descending
                            select f.Symbol).Take(20).ToList();

            Log($"New assets selected {Time} | {string.Join(',', ranked)}");

            return Universe.Unchanged;
        } 

        // public override void OnData(Slice slice)
        // { 
        //     if (IsWarmingUp || (Time.Hour == 9 && (Time.Minute <= 35 || Time.Minute > 59))) return;

        //     // Select top 20 stocks in play with the greatest relative volume.
        //     var filtered = _signals.Values.Where(s => s.Triggered)
        //         .OrderByDescending(s => s.RelativeVolume).Take(30);
            
        //     // Look for trade entries.
        //     foreach (var signal in filtered)
        //     {
        //         signal.Scan();
        //     }
        // }
        //Schedule.On(DateRules.EveryDay(qqq), TimeRules.BeforeMarketClose(qqq, 1), () => Liquidate()); 

        class UniverseProperties 
        {
            public Symbol Symbol;
            public decimal DollarVolume;
            public decimal RelativeVolatility = 0;
            public decimal AbsoluteDeviationsFromMean = 0;

            private StandardDeviation _std;
            private SimpleMovingAverage _mean;
            private RelativeStrengthIndex _rsi;

            public UniverseProperties(QCAlgorithm algorithm, Symbol symbol)
            {
                Symbol = symbol;
                var history = algorithm.History<TradeBar>(symbol, 15, Resolution.Daily);
                _std = new StandardDeviation(14);
                _mean = new SimpleMovingAverage(14);
                _rsi = new RelativeStrengthIndex(14);

                foreach(var bar in history)
                {
                    Update(bar.EndTime, bar.Close, bar.Volume);
                }
            }

            public void Update(DateTime time, decimal price, decimal dollarVolume)
            {
                DollarVolume = dollarVolume;
                _std.Update(time, price);
                _mean.Update(time, price);
                _rsi.Update(time, price);

                if (_std.IsReady) 
                {
                    AbsoluteDeviationsFromMean = Math.Abs((price - _mean)/_std);
                    RelativeVolatility = _std/_mean;
                }
            }
        }
    }
}