| Overall Statistics |
|
Total Trades 96 Average Win 3.90% Average Loss -1.53% Compounding Annual Return 39.588% Drawdown 44.400% Expectancy 0.257 Net Profit 18.053% Sharpe Ratio 1.214 Probabilistic Sharpe Ratio 44.910% Loss Rate 65% Win Rate 35% Profit-Loss Ratio 2.55 Alpha 1.044 Beta 1.787 Annual Standard Deviation 0.911 Annual Variance 0.829 Information Ratio 1.902 Tracking Error 0.563 Treynor Ratio 0.619 Total Fees $648.71 Estimated Strategy Capacity $62000000.00 Lowest Capacity Asset AAPL R735QTJ8XC9X |
class GeekyYellowGreenArmadillo(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 1, 1)
self.SetEndDate(2020, 6, 30)
self.SetCash(100000)
equity = self.AddEquity("AAPL", Resolution.Hour)
equity.SetDataNormalizationMode(DataNormalizationMode.Adjusted)
self.symbol = equity.Symbol
self.SetBenchmark(self.AddEquity("SPY").Symbol)
self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin)
self.fillPrice = 0
self.stopPrice = 0
self.exitPrice = 0
self.fillQty = 0
self.period = timedelta(hours=1)
self.nextEntryTime = self.Time
self.stopOrderId = 0
def OnData(self, data):
if not self.symbol in data:
return
price = self.Securities[self.symbol].Close
if not self.Portfolio[self.symbol].Invested:
if self.nextEntryTime <= self.Time:
self.SetHoldings(self.symbol, 1)
self.stopPrice = round(self.fillPrice * 0.99, 2)
self.exitPrice = round(self.fillPrice * 1.03, 2)
self.stopOrderId = self.StopMarketOrder(self.symbol, -self.fillQty, self.stopPrice) #stop order
self.Log("BUY " + self.symbol.Value + " @ " + str(self.fillPrice) + " STOP ORDER @ " + str(self.stopPrice) + " TARGET EXIT @ " + str(self.exitPrice) )
elif price > self.exitPrice: #profit taker
self.Liquidate() #stop order cancelled
self.Log("PROFIT " + self.symbol.Value + " @ " + str(self.fillPrice) + " STOP ORDER CANCELLED " + " NEXT ENTRY TIME " + str(self.nextEntryTime))
def OnOrderEvent(self, orderEvent):
if orderEvent.Status == OrderStatus.Filled:
self.fillPrice = orderEvent.FillPrice
self.fillQty = orderEvent.FillQuantity
self.nextEntryTime = self.Time + self.period
if orderEvent.OrderId == self.stopOrderId: #upon stop order
self.Log("STOP ORDER FILLED @ " + str(self.fillPrice) + " NEXT ENTRY TIME " + str(self.nextEntryTime))