| Overall Statistics |
|
Total Trades 64 Average Win 11.31% Average Loss -1.28% Compounding Annual Return 0.617% Drawdown 24.900% Expectancy 0.229 Net Profit 6.364% Sharpe Ratio 0.093 Probabilistic Sharpe Ratio 0.027% Loss Rate 88% Win Rate 12% Profit-Loss Ratio 8.83 Alpha 0.005 Beta 0.035 Annual Standard Deviation 0.09 Annual Variance 0.008 Information Ratio -0.607 Tracking Error 0.159 Treynor Ratio 0.236 Total Fees $128.07 Estimated Strategy Capacity $430000.00 Lowest Capacity Asset EURUSD 8G |
class VirtualBrownGull(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2012, 3, 4) # Set Start Date
self.SetEndDate(2022, 3, 11)
self.SetCash(10000) # Set Strategy Cash
self.SetSecurityInitializer(self.CustomSecurityInitializer)
self.eurusd = self.AddForex("EURUSD", Resolution.Daily, Market.Oanda, 30).Symbol
self.quoteBarWindow = RollingWindow[QuoteBar](2)
#setting up SMA and linking to rolling window
self.twohundredsma = self.SMA(self.eurusd, 200, Resolution.Daily)
self.twohundredsma.Updated += self.SMAUpdated
self.twohunsmaWindow = RollingWindow[IndicatorDataPoint](2)
#History Request for SMA data, returns table with high, low, open, close columns for each bar requested, indexed by close column here
hist_prices = self.History(self.eurusd, 200, Resolution.Daily)["askclose"]
for time, askclose in hist_prices.loc[self.eurusd].items():
self.twohundredsma.Update(time, askclose)
def SMAUpdated(self, sender, updated):
self.twohunsmaWindow.Add(updated)
def CustomSecurityInitializer(self, security):
security.SetLeverage(30)
def OnData(self, data):
## Check if everything ready ####################################################################################################################
self.quoteBarWindow.Add(data[self.eurusd])
if not self.quoteBarWindow.IsReady:
return
if not self.twohundredsma.IsReady:
return
if not self.twohunsmaWindow.IsReady:
return
##################################################################################################################################################
## If not invested, enter on cross up and put stop at SMA ########################################################################################
ordersize = (self.Portfolio.GetBuyingPower(self.eurusd, OrderDirection.Buy) * .01) / (data[self.eurusd].Ask.Close - self.twohundredsma.Current.Value)
if not self.Portfolio[self.eurusd].IsLong or self.Portfolio[self.eurusd].IsShort:
if self.quoteBarWindow[0].Ask.Low > self.twohunsmaWindow[0].Value and self.quoteBarWindow[1].Ask.Low < self.twohunsmaWindow[1].Value:
self.MarketOrder(self.eurusd, ordersize)
self.stopticket = self.StopMarketOrder(self.eurusd, -ordersize , round(self.twohundredsma.Current.Value, 5))
self.exitordersize = ordersize
self.Log("Max Risk Quantity: " + str((self.Portfolio.GetBuyingPower(self.eurusd, OrderDirection.Buy) * .01) / (data[self.eurusd].Ask.Close - self.twohundredsma.Current.Value)))
self.Log("Order Size: " + str(ordersize))
else:
pass
###################################################################################################################################################
## If invested, exit on cross down ###############################################################################################################
if self.Portfolio[self.eurusd].IsLong:
if self.quoteBarWindow[0].Ask.Close < self.twohunsmaWindow[0].Value and self.quoteBarWindow[1].Ask.Close > self.twohunsmaWindow[1].Value:
self.MarketOrder(self.eurusd, -self.exitordersize)
self.stopticket.Cancel("Cancelled")
else:
pass