Overall Statistics
Total Trades
1872
Average Win
0.76%
Average Loss
-0.51%
Compounding Annual Return
7.088%
Drawdown
11.200%
Expectancy
0.175
Net Profit
122.741%
Sharpe Ratio
0.916
Probabilistic Sharpe Ratio
34.287%
Loss Rate
53%
Win Rate
47%
Profit-Loss Ratio
1.48
Alpha
0.045
Beta
0.18
Annual Standard Deviation
0.081
Annual Variance
0.007
Information Ratio
-0.576
Tracking Error
0.159
Treynor Ratio
0.414
Total Fees
$2888.19
Estimated Strategy Capacity
$79000000.00
Lowest Capacity Asset
QQQ RIWIV7K5Z9LX
 
class HmaIchimokuAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2010, 1, 1)
        self.SetCash(25000)
        self.qqq = self.AddEquity("QQQ", Resolution.Hour).Symbol
        self.hma = self.HMA(self.qqq, 12, Resolution.Hour)
        self.delayed_hma = IndicatorExtensions.Of(Delay(2), self.hma)
        
        # ==== System Inputs ====
        TenkanPeriod = 9
        KijunPeriod = 26
        SenkouAPeriod = 26
        SenkouBPeriod = 52
        SenkouADelay = 26
        SenkouBDelay = 26
        
        self.ichimoku = self.ICHIMOKU(self.qqq, TenkanPeriod, KijunPeriod, SenkouAPeriod, SenkouBPeriod, SenkouADelay, SenkouBDelay, Resolution.Hour)
        closing_prices = self.History(self.qqq, 52, Resolution.Hour)
        for bar in closing_prices.itertuples():
            tradeBar = TradeBar(bar.Index[1], bar.Index[0], bar.open, bar.high, bar.low, bar.close, bar.volume)
            self.hma.Update(bar.Index[1], bar.close)
            self.delayed_hma.Update(bar.Index[1], bar.close)
            self.ichimoku.Update(tradeBar)
        
        
    def OnData(self, data):
        if not (self.qqq in data.Bars and self.hma.IsReady and self.delayed_hma.IsReady and self.ichimoku.IsReady): 
            return

        price = self.Securities["QQQ"].Price
    
        currentHma = self.hma.Current.Value
        previousHma = self.delayed_hma.Current.Value
        
        tenkan = self.ichimoku.Tenkan.Current.Value
        kijun = self.ichimoku.Kijun.Current.Value
        chikou = self.ichimoku.Chikou.Current.Value
    
        senkou_span_a = self.ichimoku.SenkouA.Current.Value
        senkou_span_b = self.ichimoku.SenkouB.Current.Value
        cloud_top = max(senkou_span_a, senkou_span_b)
        cloud_bottom = min(senkou_span_a, senkou_span_b)
        
        
        if not self.Portfolio.Invested and currentHma > previousHma and price > previousHma and price > chikou and price > cloud_top and (tenkan >= kijun or price > kijun):
            self.SetHoldings("QQQ",1)
            
        elif not self.Portfolio.Invested and currentHma < previousHma and price < previousHma and price < chikou and price < cloud_bottom and (tenkan <= kijun or price < kijun):
            self.SetHoldings("QQQ", 0)    
            
        # Liquidate         
        if self.Portfolio["QQQ"].IsLong and currentHma < previousHma and (price < previousHma or tenkan < kijun or price < tenkan or price < kijun or price < cloud_top or price < chikou):
            self.Liquidate()
                
        elif self.Portfolio["QQQ"].IsShort and currentHma > previousHma and (price > previousHma or tenkan > kijun or price > tenkan or price > kijun or price > cloud_bottom or price > chikou):
            self.Liquidate()