| Overall Statistics |
|
Total Trades 21 Average Win 10.70% Average Loss -1.64% Compounding Annual Return 31.486% Drawdown 15.000% Expectancy 2.764 Net Profit 47.800% Sharpe Ratio 1.882 Probabilistic Sharpe Ratio 76.389% Loss Rate 50% Win Rate 50% Profit-Loss Ratio 6.53 Alpha 0.262 Beta 0.263 Annual Standard Deviation 0.178 Annual Variance 0.032 Information Ratio 0.201 Tracking Error 0.268 Treynor Ratio 1.278 Total Fees $49.76 Estimated Strategy Capacity $87000000.00 Lowest Capacity Asset QQQ RIWIV7K5Z9LX |
# Last N Hour bars above a moving average
# ------------------------------------------
STOCK = 'QQQ'; MA_F = 1; MA_S = 200; N = 5;
# ------------------------------------------
class MAC(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 1, 1)
self.SetEndDate(2021, 6, 4)
self.SetCash(100000)
res = Resolution.Hour
self.stock = self.AddEquity(STOCK, res).Symbol
self.SetWarmUp(MA_S, res)
self.sma_fast = self.SMA(self.stock, MA_F, res)
self.sma_slow = self.SMA(self.stock, MA_S, res)
self.count = 0
def OnData(self, data):
if self.IsWarmingUp: return
if not self.sma_fast.IsReady: return
if not self.sma_slow: return
self.Plot("SMA", "sma_fast", self.sma_fast.Current.Value)
self.Plot("SMA", "sma_slow", self.sma_slow.Current.Value)
if self.sma_fast.Current.Value > self.sma_slow.Current.Value:
self.count += 1
elif self.sma_fast.Current.Value < self.sma_slow.Current.Value:
self.count = 0
if self.count > N and not self.Portfolio[self.stock].IsLong:
self.SetHoldings(self.stock, 1)
elif self.count <= N and self.Portfolio[self.stock].IsLong:
self.SetHoldings(self.stock, 0)
self.Plot("Above MA", "count", self.count)
self.Plot("Above MA", "threshold", N)