| Overall Statistics |
|
Total Trades 7 Average Win 4.65% Average Loss -3.87% Compounding Annual Return -96.034% Drawdown 9.500% Expectancy -0.266 Net Profit -4.887% Sharpe Ratio -1.57 Probabilistic Sharpe Ratio 28.145% Loss Rate 67% Win Rate 33% Profit-Loss Ratio 1.20 Alpha 0.715 Beta 3.641 Annual Standard Deviation 0.579 Annual Variance 0.335 Information Ratio -1.031 Tracking Error 0.449 Treynor Ratio -0.249 Total Fees $32.06 Estimated Strategy Capacity $29000000.00 Lowest Capacity Asset TSLA UNU3P8Y3WFAD |
# Stop Loss and Take Profit
# -----------------------------------
STOCK = "TSLA"; SL = 0.02; TP = 0.04;
# -----------------------------------
class StopLossTakeProfit(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2022, 4, 3)
self.SetEndDate(2022, 4, 8)
self.SetCash(1000000)
self.stock = self.AddEquity(STOCK, Resolution.Minute).Symbol
self.price = 0
def OnData(self, data):
if self.Time.hour < 10 or self.Time.minute != 1: return
if self.Time.hour >= 16 or self.Time.minute != 1: return
if not self.Portfolio[self.stock].Invested:
self.SetHoldings(self.stock, 1.0)
self.price = data[self.stock].Price
elif self.Portfolio[self.stock].Invested:
if self.price > 0:
curr_price = data[self.stock].Price
if curr_price >= self.price*(1 + TP):
self.Liquidate(self.stock, "Take Profit")
self.price = 0
elif curr_price < self.price*(1 - SL):
self.Liquidate(self.stock, "Stop Loss")
self.price = 0