| Overall Statistics |
|
Total Trades 96 Average Win 0.37% Average Loss -0.78% Compounding Annual Return -14.504% Drawdown 14.900% Expectancy -0.386 Net Profit -13.619% Sharpe Ratio -1.658 Probabilistic Sharpe Ratio 0.000% Loss Rate 58% Win Rate 42% Profit-Loss Ratio 0.47 Alpha -0.101 Beta -0 Annual Standard Deviation 0.061 Annual Variance 0.004 Information Ratio 0.012 Tracking Error 0.213 Treynor Ratio 425.859 Total Fees $206.40 Estimated Strategy Capacity $85000000.00 Lowest Capacity Asset ES Y4D62XFM9IPT |
# region imports
from AlgorithmImports import *
# endregion
class WeekendTradingWarrior(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2022, 1, 1) # Set Start Date
self.SetEndDate(2022, 12, 31)
self.SetCash(100000) # Set Strategy Cash
self.SP500EMini_CC = self.AddFuture(Futures.Indices.SP500EMini, resolution=Resolution.Minute, extendedMarketHours=True) # SP500EMini Continious Contract
self.SP500EMini_CC.SetFilter(0, 97)
self.SP500EMini_PC = self.SP500EMini_FC = self.SP500EMini_NC = self.SP500EMini_CC
self.Schedule.On(self.DateRules.WeekEnd(self.SP500EMini_CC.Symbol, 0),
self.TimeRules.BeforeMarketClose(self.SP500EMini_CC.Symbol, 1, extendedMarketClose=True),
self.before_market_close)
self.Schedule.On(self.DateRules.WeekStart (self.SP500EMini_CC.Symbol, 0),
self.TimeRules.AfterMarketOpen(self.SP500EMini_CC.Symbol, 1, extendedMarketOpen=True),
self.after_market_opn)
def get_current_contract(self):
for chain in self.CurrentSlice.FutureChains:
self.popularContracts = [contract for contract in chain.Value if contract.OpenInterest > 1000]
if len(self.popularContracts) == 0:
continue
else:
sortedByOIContracts = sorted(self.popularContracts, key=lambda k : k.OpenInterest, reverse=True)
self.SP500EMini_NC = sortedByOIContracts[0]
break
# swap contracts when new front contract is found
if self.SP500EMini_FC.Symbol != self.SP500EMini_NC.Symbol:
self.Debug(f"{self.Time} new_contract found.. NewContractSymbol: {self.SP500EMini_NC.Symbol} {self.SP500EMini_NC.Expiry}" )
self.SP500EMini_PC = self.SP500EMini_FC
self.SP500EMini_FC = self.SP500EMini_NC
def OnData(self, slice):
self.get_current_contract()
def before_market_close(self):
self.Debug(f"{self.Time} before_market_close called.. FrontContractSymbol: {self.SP500EMini_FC.Symbol}")
if not self.Portfolio.Invested:
self.MarketOrder(self.SP500EMini_FC.Symbol, 1)
def after_market_opn(self):
self.Debug(f"{self.Time} after_market_open called.. FrontContractSymbol: {self.SP500EMini_FC.Symbol}")
if self.Portfolio.Invested:
self.Liquidate()