Overall Statistics
Total Trades
115
Average Win
1.53%
Average Loss
-0.91%
Compounding Annual Return
47.488%
Drawdown
13.900%
Expectancy
0.178
Net Profit
20.431%
Sharpe Ratio
1.751
Probabilistic Sharpe Ratio
66.445%
Loss Rate
56%
Win Rate
44%
Profit-Loss Ratio
1.69
Alpha
0.293
Beta
-0.178
Annual Standard Deviation
0.19
Annual Variance
0.036
Information Ratio
1.785
Tracking Error
0.311
Treynor Ratio
-1.867
Total Fees
$3153.16
Estimated Strategy Capacity
$35000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
# Trading Consolidated HeikinAshi 6-24

from AlgorithmImports import *

BAR = 120; STOCK = "SPY"

class ConsolidatedHeikinAshi(QCAlgorithm):    

    def Initialize(self):        
        self.SetStartDate(2022, 1, 1)  
        self.SetEndDate(2022, 6, 24) 
        self.SetCash(1000000) 
        res = Resolution.Minute
        self.symbol = self.AddEquity(STOCK, res).Symbol
        consolidator = TradeBarConsolidator(timedelta(minutes = BAR))
        self.Consolidate(self.symbol, timedelta(minutes = BAR), self.BarHandler)       
        self.ha = HeikinAshi()
        self.RegisterIndicator(self.symbol, self.ha, consolidator)
        self.SetWarmUp(BAR, res)


    def BarHandler(self, consolidated):
        if self.IsWarmingUp or not self.ha.IsReady: return
       
        HA_O = self.ha.Open.Current.Value
        HA_H = self.ha.High.Current.Value
        HA_L = self.ha.Low.Current.Value
        HA_C = self.ha.Close.Current.Value
   
        self.Plot(self.symbol, "HA_O", HA_O)
        self.Plot(self.symbol, "HA_H", HA_H)
        self.Plot(self.symbol, "HA_L", HA_L)
        self.Plot(self.symbol, "HA_C", HA_C)

        if not self.Portfolio[self.symbol].IsLong:
            if HA_C > HA_O:
                self.SetHoldings(self.symbol, 1, True, "Long Signal")
        
        elif not self.Portfolio[self.symbol].IsShort:
              if HA_C < HA_O:
                  self.SetHoldings(self.symbol, -1, True, "Short Signal")