| Overall Statistics |
|
Total Trades 1595 Average Win 0.02% Average Loss 0.00% Compounding Annual Return 3.897% Drawdown 3.300% Expectancy 5.177 Net Profit 3.904% Sharpe Ratio 0.731 Probabilistic Sharpe Ratio 38.991% Loss Rate 41% Win Rate 59% Profit-Loss Ratio 9.52 Alpha -0.083 Beta 0.243 Annual Standard Deviation 0.055 Annual Variance 0.003 Information Ratio -3.443 Tracking Error 0.136 Treynor Ratio 0.165 Total Fees $1636.50 Estimated Strategy Capacity $79000000.00 Lowest Capacity Asset TQQQ UK280CGTCB51 |
class HipsterVioletAntelope(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 5, 14) # Set Start Date
self.SetEndDate(2021,5,14)
self.SetCash(100000) # Set Strategy Cash
self.spy = self.AddEquity("TQQQ", Resolution.Minute).Symbol
self.window = RollingWindow[TradeBar](2)
self.DefaultOrderProperties.TimeInForce = TimeInForce.Day
def OnData(self, data):
if not data.Bars.ContainsKey("TQQQ"):
return
self.window.Add(data.Bars["TQQQ"])
if not self.window.IsReady:
return
low = self.window[0].Low
high = self.window[0].High
close = self.window[0].Close
Open = self.window[0].Open
low1 = self.window[1].Low
high1 = self.window[1].High
close1 = self.window[1].Close
if not self.Portfolio.Invested:
if (low < low1) and (high < high1) and (close < Open) and (close < close1):
self.ticket = self.StopMarketOrder("TQQQ", 100, high)
else:
if self.Securities["TQQQ"].Price > self.fill_price:
self.Liquidate("TQQQ")
def OnOrderEvent(self, orderevent):
if orderevent.Status == OrderStatus.Filled:
self.fill_price = orderevent.FillPrice
self.Debug(self.fill_price)