Overall Statistics |
Total Trades 85 Average Win 0.08% Average Loss -0.08% Compounding Annual Return -7.000% Drawdown 0.900% Expectancy -0.156 Net Profit -0.390% Sharpe Ratio -2.99 Probabilistic Sharpe Ratio 19.844% Loss Rate 57% Win Rate 43% Profit-Loss Ratio 0.97 Alpha -0.009 Beta 0.081 Annual Standard Deviation 0.026 Annual Variance 0.001 Information Ratio 4.003 Tracking Error 0.194 Treynor Ratio -0.972 Total Fees $85.00 |
from datetime import datetime, timedelta from clr import AddReference AddReference("System") AddReference("QuantConnect.Algorithm") AddReference("QuantConnect.Indicators") AddReference("QuantConnect.Common") from System import * from QuantConnect import * from QuantConnect.Algorithm import * from QuantConnect.Indicators import * from QuantConnect.Data.Market import * from QuantConnect.Data.Consolidators import * class DataConsolidationAlgorithm(QCAlgorithm): def Initialize(self): '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.''' self.SetStartDate(2016,1,1) #Set Start Date self.SetEndDate(2016,1,20) #Set End Date self.AddEquity("SPY", Resolution.Minute) self.macd = self.MACD("SPY", 12, 26, 9, MovingAverageType.Exponential, Resolution.Minute) thirtyMinuteConsolidator = TradeBarConsolidator(timedelta(minutes=30)) thirtyMinuteConsolidator.DataConsolidated += self.ThirtyMinuteBarHandler self.SubscriptionManager.AddConsolidator("SPY", thirtyMinuteConsolidator) self.RegisterIndicator("SPY", self.macd, thirtyMinuteConsolidator) def ThirtyMinuteBarHandler(self, sender, bar): '''This is our event handler for our 30-minute trade bar defined above in Initialize(). So each time the consolidator produces a new 30-minute bar, this function will be called automatically. The sender parameter will be the instance of the IDataConsolidator that invoked the event ''' #self.Debug(str(self.Time) + " " + str(bar)) if not self.macd.IsReady: return if self.Portfolio["SPY"].Quantity == 0 and self.macd.Current.Value > self.macd.Signal.Current.Value: #if self.Portfolio["SPY"].Quantity == 0 and self.macd.Current.Value >0: print("MACD VALUE :",self.macd.Current.Value) print("SIGNAL VALUE :",self.macd.Signal.Current.Value) self.Buy("SPY",100) elif self.Portfolio["SPY"].Quantity > 0 and self.macd.Current.Value < self.macd.Signal.Current.Value: #elif self.Portfolio["SPY"].Quantity > 0 and self.macd.Current.Value < 0: print("MACD VALUE :",self.macd.Current.Value) print("SIGNAL VALUE :",self.macd.Signal.Current.Value) self.Liquidate() #self.Plot("Charting", "MACD",self.macd) def OnData(self, data): pass