| Overall Statistics |
|
Total Trades 3 Average Win 0% Average Loss -14.51% Compounding Annual Return 16.457% Drawdown 14.500% Expectancy -1 Net Profit 5.222% Sharpe Ratio 0.798 Probabilistic Sharpe Ratio 43.392% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.039 Beta 0.756 Annual Standard Deviation 0.158 Annual Variance 0.025 Information Ratio 0.097 Tracking Error 0.112 Treynor Ratio 0.166 Total Fees $7.50 Estimated Strategy Capacity $460000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 3.51% |
#region imports
using System;
using System.Collections;
using System.Collections.Generic;
using System.Linq;
using System.Globalization;
using System.Drawing;
using QuantConnect;
using QuantConnect.Algorithm.Framework;
using QuantConnect.Algorithm.Framework.Selection;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Parameters;
using QuantConnect.Benchmarks;
using QuantConnect.Brokerages;
using QuantConnect.Util;
using QuantConnect.Interfaces;
using QuantConnect.Algorithm;
using QuantConnect.Indicators;
using QuantConnect.Data;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Custom;
using QuantConnect.DataSource;
using QuantConnect.Data.Fundamental;
using QuantConnect.Data.Market;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Notifications;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.Slippage;
using QuantConnect.Scheduling;
using QuantConnect.Securities;
using QuantConnect.Securities.Equity;
using QuantConnect.Securities.Future;
using QuantConnect.Securities.Option;
using QuantConnect.Securities.Forex;
using QuantConnect.Securities.Crypto;
using QuantConnect.Securities.Interfaces;
using QuantConnect.Storage;
using QuantConnect.Data.Custom.AlphaStreams;
using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion
namespace QuantConnect
{
public partial class BootCampTask : QCAlgorithm
{
private OrderTicket stopMarketTicket;
private DateTime stopMarketOrderFilled;
private decimal highestSPYPrice = Decimal.MinValue;
public override void Initialize()
{
SetStartDate(2018, 12, 1);
SetEndDate(2019, 4, 1);
SetCash(100000);
var spy = AddEquity("SPY", Resolution.Daily, dataNormalizationMode: DataNormalizationMode.Raw);
}
public override void OnData(Slice slice)
{
//1. Plot the current SPY price to "Data Chart" on series "Asset Price"
Plot("Data Chart", "Asset Price", Securities["SPY"].Price);
if ((Time - stopMarketOrderFilled).TotalDays < 15)
return;
if (!Portfolio.Invested) {
MarketOrder("SPY", 500);
highestSPYPrice = Securities["SPY"].Close;
stopMarketTicket = StopMarketOrder("SPY", -500, highestSPYPrice * 0.9m);
} else {
//2. Plot the moving stop price on "Data Chart" with "Stop Price" series name
if (Securities["SPY"].Close > highestSPYPrice) {
highestSPYPrice = Securities["SPY"].Close;
stopMarketTicket.Update(new UpdateOrderFields() {
StopPrice = 0.9m * highestSPYPrice
});
}
Plot("Data Chart", "Stop Price", highestSPYPrice);
}
}
public override void OnOrderEvent(OrderEvent orderEvent)
{
if (orderEvent.Status != OrderStatus.Filled)
return;
if (stopMarketTicket != null && orderEvent.OrderId == stopMarketTicket.OrderId) {
stopMarketOrderFilled = Time;
}
}
}
}