Overall Statistics |
Total Trades 5372 Average Win 0.12% Average Loss -0.10% Compounding Annual Return -42.680% Drawdown 29.700% Expectancy -0.128 Net Profit -29.676% Sharpe Ratio -3.285 Loss Rate 60% Win Rate 40% Profit-Loss Ratio 1.19 Alpha -0.364 Beta -1.066 Annual Standard Deviation 0.115 Annual Variance 0.013 Information Ratio -3.405 Tracking Error 0.115 Treynor Ratio 0.355 Total Fees $9938.20 |
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. # Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. # # Licensed under the Apache License, Version 2.0 (the "License"); # you may not use this file except in compliance with the License. # You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 # # Unless required by applicable law or agreed to in writing, software # distributed under the License is distributed on an "AS IS" BASIS, # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. # See the License for the specific language governing permissions and # limitations under the License. from clr import AddReference AddReference("System") AddReference("QuantConnect.Algorithm") AddReference("QuantConnect.Common") from System import * from QuantConnect import * from QuantConnect.Algorithm import * from QuantConnect.Securities import * from datetime import timedelta import decimal as d import numpy as np class FuturesMomentumAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2016, 1, 1) self.SetEndDate(2016, 8, 18) self.SetCash(100000) fastPeriod = 20 slowPeriod = 60 self._tolerance = d.Decimal(1 + 0.001) self.IsUpTrend = False self.IsDownTrend = False self.SetWarmUp(max(fastPeriod, slowPeriod)) self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage) # Adds SPY to be used in our EMA indicators equity = self.AddEquity("SPY", Resolution.Daily) ## SP500 Emini futures future = self.AddFuture(Futures.Indices.SP500EMini) future.SetFilter(timedelta(0), timedelta(90)) def OnData(self, slice): for chain in slice.FuturesChains: # find the front contract expiring no earlier than in 30 days contracts = list(filter(lambda x: x.Expiry > self.Time + timedelta(30), chain.Value)) # if there is any contract, trade the front contract if len(contracts) == 0: continue contract = sorted(contracts, key = lambda x: x.Expiry, reverse=True)[0] ## VERY arbitrary code: buy every hour on the 15-min, sell 30min later if self.Time.minute == 15: self.MarketOrder(contract.Symbol, 1) if self.Time.minute == 45: self.MarketOrder(contract.Symbol, -1) def OnOrderEvent(self, orderEvent): self.Log(str(orderEvent))