| Overall Statistics |
|
Total Trades 1339 Average Win 1.28% Average Loss -1.73% Compounding Annual Return 9.238% Drawdown 41.100% Expectancy 0.094 Net Profit 579.292% Sharpe Ratio 0.58 Probabilistic Sharpe Ratio 1.727% Loss Rate 37% Win Rate 63% Profit-Loss Ratio 0.74 Alpha 0 Beta 0 Annual Standard Deviation 0.196 Annual Variance 0.039 Information Ratio 0.58 Tracking Error 0.196 Treynor Ratio 0 Total Fees $34765.15 Estimated Strategy Capacity $610000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
from System.Drawing import Color
class SMAStrategy(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2000, 1, 1) # Set Start Date
self.SetEndDate(2021, 8, 31) # Set End Date
self.SetCash(100000) # Set Strategy Cash
self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage) #, AccountType.Margin)
self.spy = self.AddEquity("SPY", Resolution.Daily).Symbol
lenght = self.GetParameter("sma_lenght")
lenght = 5 if lenght is None else int(lenght)
self.toleranc = self.GetParameter("crossover_tolerance")
self.tolerance = float(0.0002) if self.toleranc is None else float(self.toleranc)
self.sma = self.SMA(self.spy, lenght, Resolution.Daily)
self.SetWarmUp(timedelta(lenght))
self.Schedule.On(self.DateRules.On(2021,8, 31), self.TimeRules.At(15,45),
self.ExitPositions)
stockPlot = Chart("Trade Plot")
stockPlot.AddSeries(Series("Buy", SeriesType.Scatter, "$", Color.Green, ScatterMarkerSymbol.Triangle))
stockPlot.AddSeries(Series("Sell", SeriesType.Scatter, "$", Color.Red, ScatterMarkerSymbol.TriangleDown))
self.AddChart(stockPlot)
def OnData(self, data):
if not self.sma.IsReady:
return
price = self.Securities[self.spy].Price
tolerance = self.tolerance
self.Plot("Trade Plot", "Price", price)
self.Plot("Trade Plot", "SMA", self.sma.Current.Value)
holdings = self.Portfolio[self.spy].Quantity
if holdings <= 0:
if self.sma.Current.Value > price * (1 + tolerance):
self.SetHoldings(self.spy,1)
self.Plot("Trade Plot", "Buy", price)
elif self.sma.Current.Value < price * (1 - tolerance):
self.SetHoldings(self.spy,-1)
self.Plot("Trade Plot", "Sell", price)
def ExitPositions(self):
self.Liquidate()