| Overall Statistics |
|
Total Trades 72 Average Win 3.17% Average Loss -1.16% Compounding Annual Return 3.775% Drawdown 15.100% Expectancy 0.759 Net Profit 34.233% Sharpe Ratio 0.46 Probabilistic Sharpe Ratio 3.603% Loss Rate 53% Win Rate 47% Profit-Loss Ratio 2.72 Alpha 0.015 Beta 0.151 Annual Standard Deviation 0.06 Annual Variance 0.004 Information Ratio -0.395 Tracking Error 0.143 Treynor Ratio 0.184 Total Fees $267.78 Estimated Strategy Capacity $880000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
# region imports
from AlgorithmImports import *
# endregion
class Quadcci(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2015, 1, 1) # Set Start Date
self.SetCash(183000) # Set Strategy Cash
self.AddEquity("spy", Resolution.Daily,)
self.cci = self.CCI("spy", 200, MovingAverageType.Simple, Resolution.Daily)
#self.Med = self.CCI("spy", 50, MovingAverageType.Simple, Resolution.Daily)
self.CCIupperBound = 100 # CCI upper bound line
self.CCIlowerBound = -100 # CCI lower bound
self.CCIBaseLine = 0 # cci baseline
def OnData(self, data):
if not self.cci.IsReady:
return
# get current price of Spy
holdings = self.Portfolio["spy"].Quantity
price = self.Securities["spy"].Close
# buy if price closes above upper bollinger band
if holdings <= 0:
if self.cci.Current.Value > self.CCIupperBound:
self.SetHoldings("spy", 1.0)
# sell if price closes below middle bollinger band
if holdings > 0 and self.cci.Current.Value < self.CCIupperBound:
self.Liquidate()
self.Plot("My Indicators", "commoditychannelindex", self.cci.Current)