Overall Statistics |
Total Trades 53 Average Win 0.05% Average Loss -0.01% Compounding Annual Return 0.952% Drawdown 0.200% Expectancy 0.277 Net Profit 0.083% Sharpe Ratio 1.499 Probabilistic Sharpe Ratio 56.880% Loss Rate 77% Win Rate 23% Profit-Loss Ratio 4.54 Alpha -0.005 Beta 0.012 Annual Standard Deviation 0.005 Annual Variance 0 Information Ratio -6.392 Tracking Error 0.158 Treynor Ratio 0.614 Total Fees $0.00 |
import decimal as d class MovingAverageBasic(QCAlgorithm): def Initialize(self): self.SetStartDate(2019,1,1) # Set Start Date self.SetEndDate(2019,2,1) self.SetCash(1000000) # Set Strategy Cash self.defaultQuantity = 100000 #self.AddForex("AUDUSD", Resolution.Hour, Market.Oanda) #AddForex merely adds the security, but you cant refer to it later. self.audusd = self.AddForex("AUDUSD", Resolution.Hour, Market.Oanda).Symbol #But doing this you now can refer to self.symbol # Symbols are a way to identify an asset uniquely. They are objects which contain all the information required # to identify a security, without needing external references, or proprietary database look-ups. self.SetBrokerageModel(BrokerageName.OandaBrokerage) self.fastEMA = self.EMA("AUDUSD", 5, Resolution.Hour) self.slowEMA = self.EMA("AUDUSD", 20, Resolution.Hour) self.fastEMAWin = RollingWindow[float](5) self.slowEMAWin = RollingWindow[float](20) self.ATRindy = self.ATR("AUDUSD",20,MovingAverageType.Simple, Resolution.Hour) self.SetWarmUp(30) self.fill_price = 0 def OnData(self, data): '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. Arguments: data: Slice object keyed by symbol containing the stock data ''' # Creates an indicator and adds to a rolling window when it is updated self.fastEMAWin.Add(self.fastEMA.Current.Value) self.slowEMAWin.Add(self.slowEMA.Current.Value) self.ATR_Now = self.ATRindy.Current.Value if not self.slowEMA.IsReady or not self.fastEMA.IsReady: return #Logging------------------------------------------------------------------------------- Cutup = self.CrossAbove(self.fastEMAWin, self.slowEMAWin) Cutdown = self.CrossBelow(self.fastEMAWin, self.slowEMAWin) time_now = self.Time holdings = self.Securities["AUDUSD"].Holdings.Quantity if self.Portfolio[self.audusd].IsLong: if self.Falling(self.slowEMAWin, self.slowEMAWin): self.Liquidate(self.audusd) self.Log("Closing Long | Cutup is {} | Cutdown is {}".format(Cutup, Cutdown)) elif self.Portfolio[self.audusd].IsShort: if self.Rising(self.slowEMAWin, self.slowEMAWin): self.Liquidate(self.audusd) self.Log("Closing Short | Cutup is {} | Cutdown is {}".format(Cutup, Cutdown)) else: if self.CrossAbove(self.fastEMAWin, self.slowEMAWin) and not self.Falling(self.slowEMAWin, self.slowEMAWin): self.MarketOrder(self.audusd, self.defaultQuantity) self.Log("New Long | Cutup is {} | Cutdown is {}".format(Cutup, Cutdown)) self.Log("Market long order fill price is {}".format(self.fill_price)) #self.StopMarketOrder(self.audusd, -self.defaultQuantity, self.fill_price - 2*self.ATR_Now ) self.holdings = self.Securities["AUDUSD"].Holdings.Quantity #the problem is the two market order thingies above if self.CrossBelow(self.fastEMAWin, self.slowEMAWin) and not self.Rising(self.slowEMAWin, self.slowEMAWin): self.MarketOrder(self.audusd, -self.defaultQuantity) self.Log("New Short | Cutup is {} | Cutdown is {}".format(Cutup, Cutdown)) #self.Log("Market short order fill price is {}".format(order_tick.FillPrice)) self.holdings = self.Securities["AUDUSD"].Holdings.Quantity #below are event handlers, as well as functions to determine the status of the EMA #------------------------------------------------------------------------------- def CrossAbove(self, fast, slow, tolerance=0): return fast[0] > slow[0] * (1 + tolerance) and fast[2] < slow[2] * (1 - tolerance) def CrossBelow(self, fast, slow, tolerance = 0): return fast[0] < slow[0] * (1 - tolerance) and fast[2] > slow[2] * (1 + tolerance) def Rising(self, current, lookback, tolerance = 0): return current[0] > lookback[2] * (1 + tolerance) def Falling(self, current, lookback, tolerance = 0): return current[0] < lookback[2] * (1 - tolerance) def OnOrderEvent(self, orderEvent): self.order_tick = self.Transactions.GetOrderById(orderEvent.OrderId) self.fill_price = orderEvent.FillPrice self.Log("An order was filled at {}".format(self.fill_price))