| Overall Statistics |
|
Total Trades 85 Average Win 0.00% Average Loss 0.00% Compounding Annual Return -0.021% Drawdown 0.000% Expectancy 0.404 Net Profit -0.002% Sharpe Ratio -0.324 Probabilistic Sharpe Ratio 30.167% Loss Rate 33% Win Rate 67% Profit-Loss Ratio 1.11 Alpha -0 Beta 0.002 Annual Standard Deviation 0 Annual Variance 0 Information Ratio -0.721 Tracking Error 0.154 Treynor Ratio -0.074 Total Fees $182.75 Estimated Strategy Capacity $860000000000.00 Lowest Capacity Asset ES XKGCMV4QK9VL |
#region imports
from datetime import datetime, timedelta
import datetime
from AlgorithmImports import *
import pandas as pd
from QuantConnect.Python import *
from QuantConnect.Indicators import RollingWindow
#endregion
class RetrospectiveTanButterfly(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 9, 17) # Set Start Date
self.SetEndDate(2020, 10, 26)
self.SetCash(1000000000) # Set Strategy Cash
self.symbolData = {}
self.canLong = True
self.canShort = True
self.contract = self.AddFuture(Futures.Indices.SP500EMini , Resolution.Second, extendedMarketHours = False, dataNormalizationMode = DataNormalizationMode.BackwardsRatio, dataMappingMode = DataMappingMode.OpenInterest , contractDepthOffset = 0)
symbol = self.contract.Symbol
self.log1 = True
def OnData(self, data):
def l():
self.MarketOrder(self.contract.Mapped, 1)
def s():
self.MarketOrder(self.contract.Mapped, -1)
sT = self.Time.strftime('%y/%m/%d %H:%M:%S')
if sT == '20/09/17 11:41:05':
s()
if sT == '20/09/17 12:26:00':
s()
if sT == '20/09/17 13:07:51':
s()
if sT == '20/09/17 13:36:50':
l()
if sT == '20/09/17 13:43:13':
l()
if sT == '20/09/18 09:46:23':
s()
if sT == '20/09/18 12:23:48':
s()
if sT == '20/09/18 12:24:54':
l()
if sT == '20/09/18 12:42:38':
s()
if sT == '20/09/18 13:28:39':
s()
if sT == '20/09/21 09:37:01':
s()
if sT == '20/09/21 09:46:16':
l()
if sT == '20/09/21 11:14:46':
s()
if sT == '20/09/21 13:15:27':
l()
if sT == '20/09/21 13:44:58':
s()
if sT == '20/09/21 14:48:13':
s()
if sT == '20/09/21 14:54:21':
l()
if sT == '20/09/21 15:18:19':
l()
if sT == '20/09/21 15:38:03':
l()
if sT == '20/09/22 10:32:19':
s()
if sT == '20/09/23 09:35:30':
l()
if sT == '20/09/23 11:50:01':
s()
if sT == '20/09/24 09:50:03':
l()
if sT == '20/09/24 10:53:46':
l()
if sT == '20/09/24 12:02:46':
l()
if sT == '20/09/24 12:43:21':
l()
if sT == '20/09/24 13:07:17':
l()
if sT == '20/09/24 15:21:44':
s()
if sT == '20/09/24 15:32:46':
s()
if sT == '20/09/25 13:44:57':
l()
if sT == '20/09/25 14:18:24':
l()
if sT == '20/09/25 14:52:05':
l()
if sT == '20/09/25 15:19:54':
l()
if sT == '20/09/28 10:13:54':
l()
if sT == '20/09/28 13:22:11':
l()
if sT == '20/09/28 13:33:14':
l()
if sT == '20/09/28 14:16:26':
l()
if sT == '20/09/29 10:36:35':
s()
if sT == '20/09/29 10:40:57':
l()
if sT == '20/09/29 11:43:49':
s()
if sT == '20/09/29 11:52:20':
l()
if sT == '20/09/29 12:53:43':
l()
if sT == '20/09/29 13:47:44':
l()
if sT == '20/09/29 14:33:12':
l()
if sT == '20/09/30 10:03:13':
l()
if sT == '20/09/30 10:40:10':
l()
if sT == '20/09/30 12:21:01':
l()
if sT == '20/10/01 14:51:40':
l()
if sT == '20/10/05 10:31:42':
l()
if sT == '20/10/05 10:43:42':
l()
if sT == '20/10/05 11:20:25':
l()
if sT == '20/10/06 14:25:57':
l()
if sT == '20/10/06 14:52:45':
s()
if sT == '20/10/08 12:08:30':
l()
if sT == '20/10/12 10:53:05':
l()
if sT == '20/10/12 11:05:18':
l()
if sT == '20/10/12 11:11:40':
l()
if sT == '20/10/13 13:16:52':
l()
if sT == '20/10/14 09:49:17':
l()
if sT == '20/10/14 10:05:28':
s()
if sT == '20/10/14 15:08:14':
l()
if sT == '20/10/15 09:32:26':
l()
if sT == '20/10/15 10:52:31':
l()
if sT == '20/10/15 11:19:31':
l()
if sT == '20/10/15 13:36:04':
l()
if sT == '20/10/15 15:19:33':
l()
if sT == '20/10/15 15:42:07':
l()
if sT == '20/10/16 10:00:35':
l()
if sT == '20/10/16 10:26:29':
l()
if sT == '20/10/16 15:41:39':
s()
if sT == '20/10/19 09:39:59':
l()
if sT == '20/10/19 14:42:38':
s()
if sT == '20/10/20 12:34:24':
l()
if sT == '20/10/21 11:15:14':
s()
if sT == '20/10/21 11:22:14':
s()
if sT == '20/10/22 15:38:11':
l()
if sT == '20/10/23 09:30:11':
l()
if sT == '20/10/23 14:05:02':
l()
if sT == '20/10/23 15:13:23':
l()
if sT == '20/10/23 15:44:17':
l()
if sT == '20/10/26 10:31:47':
s()
if sT == '20/10/26 11:55:45':
l()
if sT == '20/10/26 12:34:01':
s()
if sT == '20/10/26 13:16:47':
s()
if sT == '20/10/26 13:35:05':
s()