| Overall Statistics |
|
Total Trades 38 Average Win 6.61% Average Loss -2.57% Compounding Annual Return 0.229% Drawdown 21.000% Expectancy 0.127 Net Profit 2.315% Sharpe Ratio 0.069 Probabilistic Sharpe Ratio 0.057% Loss Rate 68% Win Rate 32% Profit-Loss Ratio 2.57 Alpha 0.006 Beta 0.009 Annual Standard Deviation 0.1 Annual Variance 0.01 Information Ratio -0.678 Tracking Error 0.166 Treynor Ratio 0.756 Total Fees $428.47 |
# documentation :
#https://www.quantconnect.com/lean/documentation/topic28737.html
#https://www.quantconnect.com/forum/discussion/4507/output-of-ichimoku-indicator/p1
import numpy as np
from datetime import timedelta
from datetime import datetime
import pandas as pd
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from QuantConnect.Data.Market import TradeBar
from System.Drawing import Color
class inchimoku(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2010, 1, 1)
self.SetEndDate(2020, 1, 1)
self.SetCash(100000)
self.symbol = "FSLR"
self.AddEquity(self.symbol, Resolution.Daily)
self.ichimoku = self.ICHIMOKU(self.symbol,9, 26, 26, 52, 26, 26, Resolution.Daily)
#self.SetWarmUp(52,Resolution.Daily)
ichimokuPlot = Chart('ichimokuPlot')
ichimokuPlot.AddSeries(Series('Tenkan', SeriesType.Line, "", Color.Blue))
ichimokuPlot.AddSeries(Series('Kijun', SeriesType.Line, "", Color.Purple))
ichimokuPlot.AddSeries(Series('SenkouA', SeriesType.Line, "", Color.Orange))
ichimokuPlot.AddSeries(Series('SenkouB', SeriesType.Line, "", Color.Yellow))
ichimokuPlot.AddSeries(Series('Chikou', SeriesType.Line, "", Color.Pink))
ichimokuPlot.AddSeries(Series('Price', SeriesType.Line, "", Color.Gray))
ichimokuPlot.AddSeries(Series('Buy', SeriesType.Scatter, '$', Color.Green, ScatterMarkerSymbol.Triangle))
ichimokuPlot.AddSeries(Series('Sell', SeriesType.Scatter, '$', Color.Red, ScatterMarkerSymbol.TriangleDown))
self.AddChart(ichimokuPlot)
self.highestPrice = 0
self.buyPrice = 0
self.rwPrice = RollingWindow[float](26)
self.rwKijun = RollingWindow[float](2)
self.rwTenkan = RollingWindow[float](2)
self.rwSenkouA = RollingWindow[float](26)
self.rwSenkouB = RollingWindow[float](26)
self.rwHigh = RollingWindow[float](52)
self.rwLow = RollingWindow[float](52)
def OnData(self,data):
if data[self.symbol] is None: return
self.lastClose = data[self.symbol].Close
self.lastHigh = data[self.symbol].High
self.lastLow = data[self.symbol].Low
#if self.IsWarmingUp: return
if self.ichimoku.IsReady:
self.rwPrice.Add(self.lastClose)
self.rwKijun.Add(self.ichimoku.Kijun.Current.Value)
self.rwTenkan.Add(self.ichimoku.Tenkan.Current.Value)
self.rwSenkouA.Add(self.ichimoku.SenkouA.Current.Value)
self.rwSenkouB.Add(self.ichimoku.SenkouB.Current.Value)
self.rwHigh.Add(self.lastHigh)
self.rwLow.Add(self.lastLow)
if self.rwKijun.IsReady and self.rwPrice.IsReady and self.rwTenkan.IsReady and self.rwSenkouA.IsReady and self.rwSenkouB.IsReady and self.rwLow.IsReady and self.rwHigh.IsReady:
self.Plot("ichimokuPlot", "Tenkan", self.ichimoku.Tenkan.Current.Value)
self.Plot("ichimokuPlot", "Kijun", self.ichimoku.Kijun.Current.Value)
self.Plot("ichimokuPlot", "SenkouA", self.ichimoku.SenkouA.Current.Value)
self.Plot("ichimokuPlot", "SenkouB", self.ichimoku.SenkouB.Current.Value)
self.Plot("ichimokuPlot", "Price", self.lastClose)
self.Plot("ichimokuPlot", "Chikou", self.ichimoku.Chikou.Current.Value)
# hard trading rules.
'''
1 asic foundation strategy, the conservative safe way:
• Price above the Kuma Cloud.
• Tenkan Sen greater Ulan the Kijun Sen.
• Chikou Span is greater than the price from 26 periods ago.
• Future Senkou A is greater than the Future Senkou B.
• Price is not far from Kijun Sen and Tenkan Sen.
• Tenkan Sen, Kijun Sen, and Chikou Span should not be in a Thick Kuma
Cloud.
'''
'''
# softer trading rules
2 Future Senkou Crossover strategy page 156
The basic bullish rules for this strategy are:
• Current Senkou A is greater than current Senkou B.
• Price closes above the Kuma Cloud.
• If Tenkan Sen is less than Kijun Sen then Tenkan Sen should be point-
i.ng upward while the Kijun Sen is flat.
Or Tenkan Sen is greater than the Kijun Sen.
•Chikou Span is in "open space."
•Future Senkou B is flat or pointing upward.
•If Future Senkou A is less than Future Senkou B then Future Senkou A
must be pointing upward.
•Price, Tenkan Sen, Kijun Sen, and Chikou should not be in the Kumo
Cloud. lf they are, it should be a thick cloud.
•Price is not far from Tenkan Sen and KijWl Sen.
•Optional: Future Kumo Cloud is not thick.
'''
'''
2 Future Senkou Crossover strategy page 156
The basic bullish rules for this strategy are:
• Current Senkou A is greater than current Senkou B.
'''
if self.ichimoku.SenkouA.Current.Value > self.ichimoku.SenkouB.Current.Value:
#• Price closes above the Kuma Cloud.
if self.lastClose > self.ichimoku.SenkouA.Current.Value and self.lastClose > self.ichimoku.SenkouB.Current.Value:
# if Tenkan Sen is greater than the Kijun Sen continue .
#reset
TenkanUpAndKijunFlat = False
TenkanGreaterThanKijun = False
if self.ichimoku.Tenkan.Current.Value > self.ichimoku.Kijun.Current.Value:
TenkanGreaterThanKijun = True
#• If Tenkan Sen is less than Kijun Sen then Tenkan Sen should be point-
#i.ng upward while the Kijun Sen is flat.
if self.ichimoku.Tenkan.Current.Value < self.ichimoku.Kijun.Current.Value:
TenkanGreaterThanKijun = False
self.tenkanYesterday = self.rwTenkan[self.rwTenkan.Count-1]
self.kijunYesterday = self.rwKijun[self.rwKijun.Count-1]
#tenkan up? and kijun flat?
if self.ichimoku.Tenkan.Current.Value > self.tenkanYesterday and self.ichimoku.Kijun.Current.Value == self.kijunYesterday:
TenkanUpAndKijunFlat = True
# (if tenkan > kijun ) or ( kijun is flat and tenkan moves upward )
if TenkanUpAndKijunFlat or TenkanGreaterThanKijun :
#•Chikou Span is in "open space."
# if it higher than the cloud back then and is it higher than the price
# chikou current close is chikou 26 days ago.
self.chikou26DaysAgo = self.lastClose
self.SenkouA26daysAgo = self.rwSenkouA[self.rwSenkouA.Count-1]
self.SenkouB26daysAgo = self.rwSenkouB[self.rwSenkouB.Count-1]
self.price26DaysAgo = self.rwPrice[self.rwSenkouB.Count-1]
self.CloudTop26daysAgo = 0
if self.SenkouB26daysAgo > self.SenkouA26daysAgo:
self.CloudTop26daysAgo = self.SenkouB26daysAgo
if self.SenkouA26daysAgo > self.SenkouB26daysAgo:
self.CloudTop26daysAgo = self.SenkouA26daysAgo
if self.chikou26DaysAgo > self.CloudTop26daysAgo and self.chikou26DaysAgo > self.price26DaysAgo:
#•Future Senkou B is flat or pointing upward.
#Senkou Span B = (52-period high + 52-period low) / 2.
SenkouBFuture = (self.rwHigh[self.rwHigh.Count -1] + self.rwLow[self.rwLow.Count -1]) / 2.
'''
•If Future Senkou A is less than Future Senkou B then Future Senkou A
must be pointing upward.
•Price, Tenkan Sen, Kijun Sen, and Chikou should not be in the Kumo
Cloud. lf they are, it should be a thick cloud.
•Price is not far from Tenkan Sen and KijWl Sen.
•Optional: Future Kumo Cloud is not thick.
'''
#BUY
#self.TenkanYesterday = self.rwTenkan[self.rwTenkan.Count-1]
#self.kijunYesterday = self.rwKijun[self.rwKijun.Count-1]
# if price yester is lower than Kijun yesterday AND price today is > than kijunYesterday.
#self.TenkanYesterday < self.kijunYesterday and self.Ichimoku.Tenkan.Current.Value > self.Ichimoku.Kijun.Current.Value:
self.priceYesterday = self.rwPrice[1]
self.kijunYesterday = self.rwKijun[1]
# if price yester is lower than Kijun yesterday AND price today is > than kijunYesterday.
# buy at crossing point when price is larger than kijun
if self.priceYesterday < self.kijunYesterday and self.lastClose > self.ichimoku.Kijun.Current.Value:
if not self.Portfolio.Invested:
self.SetHoldings(self.symbol, 1)
self.Plot("ichimokuPlot", "Buy", self.lastClose)
self.buyPrice = self.lastClose
self.highestPrice = 0
self.stopPrice = self.buyPrice
#SELL
# trailing stop
#self.oldHighestPrice = self.highestPrice
# update highest price
if self.lastClose > self.highestPrice:
self.highestPrice = self.lastClose
# and change limit
self.stopPrice = self.highestPrice * 0.90
#self.lastClose < self.ichimoku.SenkouB.Current.Value
#or self.lastClose <= self.buyPrice or self.lastClose < self.ichimoku.Kijun.Current.Value
if self.lastClose <= self.stopPrice or self.lastClose <= self.buyPrice or self.lastClose <= self.ichimoku.Kijun.Current.Value :
if self.Portfolio.Invested:
self.Liquidate()
self.Plot("ichimokuPlot", "Sell", self.lastClose)