| Overall Statistics |
|
Total Trades 272 Average Win 0.01% Average Loss 0.00% Compounding Annual Return -24.366% Drawdown 0.300% Expectancy -0.970 Net Profit -0.306% Sharpe Ratio -15.538 Probabilistic Sharpe Ratio 0% Loss Rate 99% Win Rate 1% Profit-Loss Ratio 2.64 Alpha -0.197 Beta -0.051 Annual Standard Deviation 0.015 Annual Variance 0 Information Ratio -13.628 Tracking Error 0.059 Treynor Ratio 4.406 Total Fees $272.00 Estimated Strategy Capacity $1000.00 Lowest Capacity Asset CHPMW XB2MASNUBG4L |
# region imports
from AlgorithmImports import *
from QuantConnect.DataSource import *
# endregion
class CrawlingMagentaAlbatross(QCAlgorithm):
def Initialize(self):
# self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Cash)
self.SetStartDate(2022, 1, 1) # Set Start Date
self.SetEndDate(2022, 1, 4)
self.SetCash(100000) # Set Strategy Cash
self.AddUniverse(self.SelectCoarse)
self.AddEquity("SPY", Resolution.Minute)
self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.AfterMarketOpen("SPY", 1), self.updateOpenPrice)
self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.BeforeMarketClose("SPY", 10), self.onMarketClose)
self.opening_price ={}
self.symbols_below_k = []
self.count = 0
def SelectCoarse(self, coarse):
allSymbols = sorted(coarse, key=lambda c:c.DollarVolume, reverse=True)
self.symbols_below_k = [s.Symbol for s in allSymbols if s.Price < 1000]
return self.symbols_below_k
def OnSecuritiesChanged(self, changes: SecurityChanges):
for security in changes.AddedSecurities:
self.opening_price[security.Symbol] = {'MarketOpenPrice': 0.0}
def OnData(self, data):
if not self.Portfolio.Invested:
for x in self.opening_price:
if self.opening_price[x]['MarketOpenPrice'] == 0.0:
continue
if float(self.Securities[x].Price) > 1.1 * float(self.opening_price[x]['MarketOpenPrice']):
self.MarketOrder(x, 1)
self.count += 1
self.Log("[{t}] {x}: openPrice: {o} buyingPrice: {b}".format(t=self.Time, x=x, o=self.opening_price[x]['MarketOpenPrice'], b=self.Securities[x].Price))
def onMarketClose(self):
self.Log("End day. Liquidating!")
self.Liquidate()
self.Log("Count: {c}".format(c=self.count))
def updateOpenPrice(self):
for x in self.opening_price:
self.opening_price[x] = {'MarketOpenPrice': float(self.Securities[x].Price)}