| Overall Statistics |
|
Total Trades 458 Average Win 9.44% Average Loss -4.90% Compounding Annual Return -43.499% Drawdown 78.200% Expectancy 0.060 Net Profit -44.937% Sharpe Ratio 0.426 Probabilistic Sharpe Ratio 18.200% Loss Rate 64% Win Rate 36% Profit-Loss Ratio 1.92 Alpha 0.555 Beta 4.701 Annual Standard Deviation 2.049 Annual Variance 4.199 Information Ratio 0.395 Tracking Error 2.037 Treynor Ratio 0.186 Total Fees $572.76 |
from math import floor, ceil
from datetime import datetime
class NZDUSD_10amBuyer(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 1, 5) # Set Start Date
self.SetCash(1000) # Set Strategy Cash
self.margin = self.Portfolio.MarginRemaining
self.SetBrokerageModel(BrokerageName.FxcmBrokerage, AccountType.Margin)
self.ATRfactor = float(self.GetParameter("ATR factor"))
self.RRR = float(self.GetParameter("RRR"))
self.AddForex("NZDUSD", Resolution.Minute)
self.Schedule.On(self.DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Thursday, DayOfWeek.Friday), self.TimeRules.At(10, 00), self.TimeToBuy)
self.atr = AverageTrueRange(14)
self.RegisterIndicator("NZDUSD", self.atr, timedelta(minutes=15)) #MovingAverageType.Simple
self.SetWarmup(20)
self.leverage = self.Securities["NZDUSD"].Leverage
self.buypwr = self.margin * self.leverage
self.Debug("-------------")
self.Debug("Leverage is: " + str(self.leverage))
self.Debug("Margin is: " + str(self.margin))
self.Debug("Self calculated buypwr: " + str(self.buypwr))
self.Debug("RRR is: " + str(self.RRR))
self.Debug("ATRfactor is: " + str(self.ATRfactor))
self.Debug("-------------")
#Enters buy order every weekday at 10am NY time
def TimeToBuy(self):
if self.Portfolio.Invested:
return
leverage = 0.02 * self.Securities["NZDUSD"].Close / (self.atr.Current.Value * self.ATRfactor)
self.Debug("Calculated leverage: " + str(leverage))
quantity = round((leverage * 1000)/self.Securities["NZDUSD"].Close, -3)
self.Debug("Calculated quantity: " + str(quantity))
if leverage > 30: #maximum leverage is 50, above that orders get invalid
self.Debug("Leverage too high, return")
return
self.MarketOrder("NZDUSD", quantity) #ATR factor = 1.5 #RRR = 2
self.StopMarketOrder("NZDUSD", -quantity, round(self.Securities["NZDUSD"].Close - (self.atr.Current.Value * self.ATRfactor), 5))
self.LimitOrder("NZDUSD", -quantity, round(self.Securities["NZDUSD"].Close + (self.atr.Current.Value * self.ATRfactor)*self.RRR, 5))
def OnOrderEvent(self, orderEvent):
if orderEvent.StopPrice != None or orderEvent.LimitPrice != None:
#If stoploss or limit order was filled, cancel the other one and in case anything spills over Liquidate that
if orderEvent.Status == OrderStatus.Filled:
self.CancelledOrders = self.Transactions.CancelOpenOrders("NZDUSD")
self.Liquidate("NZDUSD")
elif orderEvent.Status == OrderStatus.Invalid:
self.CancelledOrders = self.Transactions.CancelOpenOrders("NZDUSD")
self.Liquidate("NZDUSD")