| Overall Statistics |
|
Total Trades 9 Average Win 0.41% Average Loss -0.13% Compounding Annual Return 1.315% Drawdown 0.500% Expectancy 1.827 Net Profit 0.650% Sharpe Ratio 1.01 Probabilistic Sharpe Ratio 50.133% Loss Rate 33% Win Rate 67% Profit-Loss Ratio 3.24 Alpha 0.004 Beta -0.055 Annual Standard Deviation 0.011 Annual Variance 0 Information Ratio 1.285 Tracking Error 0.1 Treynor Ratio -0.194 Total Fees $0.00 Estimated Strategy Capacity $9400000.00 |
from datetime import datetime
import decimal
import numpy as np
class DynamicBreakoutAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2010,1,1)
self.SetEndDate(2010,6,30)
self.SetCash(100000)
self.numdays = 20
self.ceiling,self.floor = 60,20
self.buypoint, self.sellpoint= None, None
self.longLiqPoint, self.shortLiqPoint, self.yesterdayclose= None, None, None
self.bband = {}
for ticker in ["EURUSD", "GBPUSD"]:
symbol = self.AddForex(ticker, Resolution.Hour, Market.Oanda).Symbol
self.bband[symbol] = self.BB(symbol, self.numdays, 2, MovingAverageType.Simple, Resolution.Daily)
self.Schedule.On(self.DateRules.EveryDay(symbol), self.TimeRules.BeforeMarketClose(symbol,1),Action(self.SetSignal))
self.SetBenchmark(symbol)
def SetSignal(self):
for symbol, bband in self.bband.items():
close = self.History(symbol, 31, Resolution.Daily)['close']
todayvol = np.std(close[1:31])
yesterdayvol = np.std(close[0:30])
deltavol = (todayvol - yesterdayvol) / todayvol
self.numdays = int(round(self.numdays * (1 + deltavol)))
if self.numdays > self.ceiling:
self.numdays = self.ceiling
elif self.numdays < self.floor:
self.numdays = self.floor
self.high = self.History(symbol, self.numdays, Resolution.Daily)['high']
self.low = self.History(symbol, self.numdays, Resolution.Daily)['low']
self.buypoint = max(self.high)
self.sellpoint = min(self.low)
historyclose = self.History(symbol, self.numdays, Resolution.Daily)['close']
self.longLiqPoint = np.mean(historyclose)
self.shortLiqPoint = np.mean(historyclose)
self.yesterdayclose = historyclose.iloc[-1]
# wait for our BollingerBand to fully initialize
if not all([bband.IsReady for symbol, bband in self.bband.items()]): return
holdings = self.Portfolio[symbol].Quantity
bb = self.bband[symbol]
if self.yesterdayclose > bb.UpperBand.Current.Value and self.Portfolio[symbol].Price >= self.buypoint:
self.SetHoldings(symbol, .1)
elif self.yesterdayclose < bb.LowerBand.Current.Value and self.Portfolio[symbol].Price <= self.sellpoint:
self.SetHoldings(symbol, -.1)
if holdings > 0 and self.Portfolio[symbol].Price <= self.shortLiqPoint:
self.Liquidate(symbol)
elif holdings < 0 and self.Portfolio[symbol].Price >= self.shortLiqPoint:
self.Liquidate(symbol)
def OnData(self,data):
return