| Overall Statistics |
|
Total Trades 77 Average Win 0.72% Average Loss -0.39% Compounding Annual Return 10.218% Drawdown 1.400% Expectancy 0.518 Net Profit 6.142% Sharpe Ratio 1.501 Probabilistic Sharpe Ratio 69.718% Loss Rate 47% Win Rate 53% Profit-Loss Ratio 1.85 Alpha 0.068 Beta -0.035 Annual Standard Deviation 0.047 Annual Variance 0.002 Information Ratio 0.742 Tracking Error 0.213 Treynor Ratio -2.02 Total Fees $117.91 Estimated Strategy Capacity $150000000.00 Lowest Capacity Asset QQQ RIWIV7K5Z9LX |
#region imports
from AlgorithmImports import *
#endregion
# MACD Signal Delta Percent simplified
class MACDTrendAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2022, 1, 1)
self.SetEndDate(2022, 8, 12)
self.SetCash(100000)
self.stopBuffer = 0.10
self.X = self.AddEquity("QQQ", Resolution.Hour).Symbol
#indicator set up
self.macd = self.MACD(self.X, 12, 26, 9, MovingAverageType.Exponential, Resolution.Hour)
self.ema = self.EMA(self.X, 100, Resolution.Hour)
#indicator previous values setup
self.macdPrev = None
self.signalPrev = None
self.priceHighPrev = None
self.priceLowPrev = None
#scheduled events
self.Schedule.On(self.DateRules.EveryDay(self.X), self.TimeRules.AfterMarketOpen(self.X, 30), self.TradeLock)
self.Schedule.On(self.DateRules.EveryDay(self.X), self.TimeRules.BeforeMarketClose(self.X, 5), self.EODActivity)
self.tradeLock = True
self.SetWarmup(100)
def OnData(self, data):
if self.IsWarmingUp or not self.ema.IsReady:
return
if self.macdPrev is None:
self.macdPrev = 0.1
self.macdCurr = self.macd.Current.Value
self.signalPrev = self.macd.Signal.Current.Value
self.emaPrev = self.ema.Current.Value
self.priceHighPrev = self.Securities[self.X].High
self.priceLowPrev = self.Securities[self.X].Low
return
self.macdCurr = self.macd.Current.Value
self.signalCurr = self.macd.Signal.Current.Value
self.emaCurr = self.ema.Current.Value
self.priceHighCurr = self.Securities[self.X].High
self.priceLowCurr = self.Securities[self.X].Low
#CRITERIA FOR ENTERING A LONG POSITION
#1. Price must be above the 100-day EMA
#2. MACD must be crossing up and over the signal line
#3. Stop-Loss should be set to bar's low minus 0.XX cents
#CRITERIA FOR ENTERING A SHORT POSITION
#1. Price must be below the 100-day EMA
#2. MACD must be crossing down and over the signal line
#3. Stop-Loss should be set to bar's high minus 0.XX cents
if not self.Portfolio.Invested and self.tradeLock is False:
#LONG TRADE ENTRY
if self.priceLowPrev > self.emaPrev and self.priceLowCurr > self.emaCurr:
if self.macdPrev < self.signalPrev and self.macdCurr > self.signalCurr:
self.SetHoldings(self.X, 0.8)
self.holdings = self.Portfolio[self.X].Quantity
self.StopMarketOrder(self.X, -self.holdings, self.priceLowCurr - self.stopBuffer)
#SHORT TRADE ENTRY
elif self.priceHighPrev < self.emaPrev and self.priceHighCurr < self.emaCurr:
if self.macdPrev > self.signalPrev and self.macdCurr < self.signalCurr:
self.SetHoldings(self.X, -0.8)
self.holdings = self.Portfolio[self.X].Quantity
self.StopMarketOrder(self.X, self.holdings, self.priceHighCurr + self.stopBuffer)
elif self.Portfolio["QQQ"].IsLong:
if self.macdPrev > self.signalPrev and self.macdCurr < self.signalCurr:
self.Transactions.CancelOpenOrders(self.X)
self.Liquidate()
elif self.Portfolio["QQQ"].IsShort:
if self.macdPrev < self.signalPrev and self.macdCurr > self.signalCurr:
self.Transactions.CancelOpenOrders(self.X)
self.Liquidate()
self.macdPrev = self.macd.Current.Value
self.signalPrev = self.macd.Signal.Current.Value
self.emaPrev = self.ema.Current.Value
self.priceLowPrev = self.Securities[self.X].High
self.priceHighPrev = self.Securities[self.X].Low
def TradeLock(self):
self.tradeLock = False
def EODActivity(self):
if self.Portfolio.Invested:
self.Liquidate()
self.tradeLock = True