| Overall Statistics |
|
Total Trades 343 Average Win 0.30% Average Loss -0.26% Compounding Annual Return 0.037% Drawdown 5.300% Expectancy 0.004 Net Profit 0.056% Sharpe Ratio 0.024 Probabilistic Sharpe Ratio 7.374% Loss Rate 54% Win Rate 46% Profit-Loss Ratio 1.17 Alpha 0.001 Beta -0.003 Annual Standard Deviation 0.033 Annual Variance 0.001 Information Ratio -0.83 Tracking Error 0.134 Treynor Ratio -0.274 Total Fees $0.00 Estimated Strategy Capacity $640000.00 Lowest Capacity Asset EURUSD 8G |
financial_instrument = "EURUSD"; period = 30; SL = 0.01; TP = 0.01;
class MeasuredSkyBlueWolf(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 10, 18)
self.SetCash(100000)
res = Resolution.Daily
self.financial_instrument = self.AddForex(financial_instrument, res).Symbol
self.macd = self.MACD(financial_instrument, 12, 26, 9, MovingAverageType.Exponential, res)
self.psar = self.PSAR(financial_instrument, 0.02, 0.02, 0.2, res)
self.ema = self.EMA(financial_instrument, 20, res)
self.SetWarmUp(period, res)
def OnData(self, data):
if self.IsWarmingUp : return
if not self.psar.IsReady: return
if not self.macd.IsReady: return
if not self.ema.IsReady: return
price = self.Securities[financial_instrument].Price
uptrend = price > self.ema.Current.Value
downtrend = price < self.ema.Current.Value
pnl = self.Securities[financial_instrument].Holdings.UnrealizedProfitPercent
self.Plot("macd ", "macd signal", self.macd.Signal.Current.Value)
self.Plot("macd ", "macd", self.macd.Current.Value)
self.Plot(financial_instrument, 'current price', price)
self.Plot(financial_instrument, 'ema', self.ema.Current.Value)
self.Plot(financial_instrument, 'sar', self.psar.Current.Value)
if not self.Portfolio.Invested:
if uptrend is True:
if self.macd.Current.Value > self.macd.Signal.Current.Value and self.psar.Current.Value < price:
self.SetHoldings(financial_instrument, 1)
elif downtrend is True:
if self.macd.Current.Value < self.macd.Signal.Current.Value and self.psar.Current.Value > price:
self.SetHoldings(financial_instrument, -1)
elif self.Portfolio.Invested:
if pnl >= TP:
self.Liquidate(financial_instrument, "Take Profit")
elif pnl < SL:
self.Liquidate(financial_instrument, "Stop Loss")