Overall Statistics
Total Trades
225
Average Win
7.83%
Average Loss
-2.59%
Compounding Annual Return
19.809%
Drawdown
34.400%
Expectancy
1.087
Net Profit
1600.041%
Sharpe Ratio
0.919
Probabilistic Sharpe Ratio
24.751%
Loss Rate
48%
Win Rate
52%
Profit-Loss Ratio
3.03
Alpha
0
Beta
0
Annual Standard Deviation
0.161
Annual Variance
0.026
Information Ratio
0.919
Tracking Error
0.161
Treynor Ratio
0
Total Fees
$187462.82
Estimated Strategy Capacity
$590000000.00
Lowest Capacity Asset
QQQ RIWIV7K5Z9LX
Portfolio Turnover
3.88%
 
# region imports
from AlgorithmImports import *
import pandas as pd

class MyAlgorithm(QCAlgorithm):
    def Initialize(self):

        #self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage)
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin)

        self.SetStartDate(2008, 1, 1)
       # self.SetEndDate(2022, 3, 1)  # Imposta la data di inizio

        self.cap = 1000000

        self.SetCash(self.cap)  # Imposta il capitale iniziale
        self.spy_symbol = self.AddEquity("SPY", Resolution.Daily).Symbol  # Aggiungi SPY come asset
        self.qqq_symbol = self.AddEquity("QQQ", Resolution.Daily).Symbol  # Aggiungi QQQ come asset
        self.xlp_symbol = self.AddEquity("XLP", Resolution.Daily).Symbol  # Aggiungi XLP come asset
        self.qld_symbol = self.AddEquity("QLD", Resolution.Daily).Symbol  # Aggiungi QLD come asset

        # self.BNC = Benchmark on chart
        self.BNC = "SPY"
        self.mkt = []
        
        self.buy_new = False 

        # Aggiungi l'indicatore di media mobile a 200 giorni per SPY
        self.spy_sma = self.SMA("SPY", 200, Resolution.Daily)
        self.spy_rsi = self.RSI("SPY", 10, MovingAverageType.Wilders)
        self.current_position = None  # Mantieni traccia della posizione attuale
       # self.AddRiskManagement(MaximumDrawdownPercentPerSecurity(0.05))
          
    def OnData(self, slice):
        if not self.spy_sma.IsReady:
            return
        if not self.spy_rsi.IsReady:
            return
        # Calcola l'RSI di SPY
        
        self.Debug(f"RSI di SPY: {self.spy_rsi.Current.Value}")
        if self.Securities[self.spy_symbol].Price > self.spy_sma.Current.Value:
            new_position = "QQQ"
        elif self.spy_rsi.Current.Value < 30:
            new_position = "QLD"
        else:
            new_position = "XLP"

        if self.current_position != new_position:
            self.Liquidate()  # Liquidate la posizione attuale
            # Se la nuova condizione è diversa dalla posizione attuale, esegui la transazione
            # Se la nuova condizione è diversa dalla posizione attuale, esegui la transazione

        if not self.Portfolio.Invested:
            self.SetHoldings(new_position, 0.99)
            self.Debug("New position opened")
            self.current_position = new_position

            self.Debug(f"Cambio di posizione: Nuova posizione = {new_position}")
            self.buy_new == False 

    def OnEndOfDay(self):
        # plot the equity we are holding at any given time
        #excl = ["SPY"]
        excl = []
        for sym in self.Portfolio.Keys:
            if sym in excl:
                continue 
            # check that we are invested in the symbol
            if self.Portfolio[sym].Invested:
                self.Plot("Holdings", sym, 1)
            else:
                self.Plot("Holdings", sym, 0)


    
        # plot the benchmark equity on the equity curve
        # plot the benchmark equity on the equity curve
        # Put in initialize:
        # self.BNC = "SPY"
        # self.mkt = []
        # self.cap = 1000000

        if not self.LiveMode:
            mkt_price = self.Securities[self.BNC].Close

        # the below fixes the divide by zero error in the MKT plot
        if mkt_price > 0 and mkt_price is not None:
            self.mkt.append(mkt_price)

        if len(self.mkt) >= 2 and not self.IsWarmingUp:
            mkt_perf = self.mkt[-1] / self.mkt[0] * self.cap
            self.Plot('Strategy Equity', self.BNC, mkt_perf)