| Overall Statistics |
|
Total Trades 65 Average Win 0.02% Average Loss 0.00% Compounding Annual Return 0.567% Drawdown 0.100% Expectancy 6.593 Net Profit 0.161% Sharpe Ratio 2.045 Loss Rate 69% Win Rate 31% Profit-Loss Ratio 23.30 Alpha 0.004 Beta -0.004 Annual Standard Deviation 0.002 Annual Variance 0 Information Ratio -0.753 Tracking Error 0.118 Treynor Ratio -0.894 Total Fees $0.00 |
import numpy as np
from decimal import Decimal
class VerticalResistanceFlange(QCAlgorithm):
stopMarketTicket = None
limitTicket = None
def Initialize(self):
self.SetStartDate(2018, 3, 23)
self.SetEndDate(2018, 7, 4)
self.SetCash(100000)
self.uj = self.AddForex("USDJPY", Resolution.Minute, Market.Oanda)
self.usdjpy = self.AddForex("USDJPY").Symbol
self.SetBrokerageModel(BrokerageName.OandaBrokerage)
self.SetWarmUp(240, Resolution.Minute)
self.rsi = self.RSI("USDJPY", 10, MovingAverageType.Simple, Resolution.Minute)
self.ich = self.ICHIMOKU("USDJPY", 9, 26, 52, 52, 26, 26, Resolution.Minute)
self.RegisterIndicator("USDJPY", self.rsi, Resolution.Minute)
self.RegisterIndicator("USDJPY", self.ich, Resolution.Minute)
self.UniverseSettings.Resolution = Resolution.Minute
def OnData(self, data):
if self.IsWarmingUp:
return
for key in data.Keys:
self.Log(str(key.Value) + ": " + str(data.Time) + " > " + str(data[key].Value))
#Set individual variables for ICHIMOKU indicator values (Tenkan, Kijun, Senkou) and RSI
ichT = self.ich.Tenkan.Current.Value
ichK = self.ich.Kijun.Current.Value
ichSA = self.ich.SenkouA.Current.Value
ichSB = self.ich.SenkouB.Current.Value
rsi_value = self.rsi.Current.Value
if not self.Portfolio.Invested:
##If "Tenkan" lines meet and RSI is between 15 and 45, short
if round(ichT, 3) == round(ichK, 3) and rsi_value < 45.0 and rsi_value > 15.0:
self.Debug("Tenkan Kijun intersection. Short.")
self.Debug("Tenkan = " + str(ichT) + " Kijun = " + str(ichK))
self.Debug("RSI Value: " + str(rsi_value))
#Set amount of portfolio to venture
self.amount = self.Portfolio.Cash * 0.04
#Order pair, set stops, print values
self.marketTicket = self.MarketOrder("USDJPY", -self.amount)
self.price = data[self.usdjpy].Close
self.Debug(str(self.price))
self.stopPrice = self.price * 1.01
self.limitPrice = self.price * 0.994
self.Debug("Limit price, short: " + str(self.limitPrice))
self.stopMarketTicket = self.StopMarketOrder("USDJPY", self.amount, self.stopPrice)
self.limitTicket = self.StopMarketOrder("USDJPY", self.amount, self.limitPrice)
self.Debug("Short order triggered per Ichimoku! For " + str(self.price))
##If "Tenkan" lines meet and RSI is between 30 and 80, long
elif round(ichT, 3) == round(ichK, 3) and rsi_value < 80.0 and rsi_value > 30.0:
self.Debug("Tenkan Kijun intersection. Long.")
self.Debug("Tenkan = " + str(ichT) + " Kijun = " + str(ichK))
self.Debug("RSI Value: " + str(rsi_value))
self.amount = self.Portfolio.Cash * 0.04
self.marketTicket = self.MarketOrder("USDJPY", self.amount)
self.price = data[self.usdjpy].Close
self.Debug(str(self.price))
self.stopPrice = self.price * 0.996
self.limitPrice = self.price * 1.006
self.Debug("Limit price, long: " + str(self.limitPrice))
self.stopMarketTicket = self.StopMarketOrder("USDJPY", -self.amount, self.stopPrice)
self.limitTicket = self.LimitOrder("USDJPY", -self.amount, self.limitPrice)
self.Debug("Long order triggered per Ichimoku! For " + str(self.price))
def OnOrderEvent(self, orderEvent):
#"One cancels the other" implementation for take profit / stop loss
if self.IsWarmingUp:
return
if self.stopMarketTicket is not None and self.stopMarketTicket.Status == OrderStatus.Filled:
self.Debug("Stop Market hit! For " + str(self.Securities["USDJPY"].Price))
self.limitTicket.Cancel()
self.stopMarketTicket = None
if self.limitTicket is not None and self.limitTicket.Status == OrderStatus.Filled:
self.Debug("Take Profit hit! For " + str(self.Securities["USDJPY"].Price))
self.stopMarketTicket.Cancel()
self.limitTIcket = None
# Your New Python File