| Overall Statistics |
|
Total Trades 43 Average Win 0.28% Average Loss -0.11% Compounding Annual Return -25.741% Drawdown 1.200% Expectancy -0.464 Net Profit -1.027% Sharpe Ratio -4.685 Probabilistic Sharpe Ratio 18.515% Loss Rate 85% Win Rate 15% Profit-Loss Ratio 2.58 Alpha -0.355 Beta -0.265 Annual Standard Deviation 0.055 Annual Variance 0.003 Information Ratio 1.052 Tracking Error 0.099 Treynor Ratio 0.978 Total Fees $43.00 |
class TachyonResistanceProcessor(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019, 9, 15) # Set Start Date
self.SetEndDate(2019, 9, 27)
self.SetCash(100000) # Set Strategy Cash
tickers = ["SPY", "GOOG", "AAPL", "FB"]
self.rsi = {}
for ticker in tickers:
symbol = self.AddEquity(ticker, Resolution.Hour).Symbol
self.rsi[symbol] = self.RSI(symbol, 14, MovingAverageType.Simple, Resolution.Hour)
self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.BeforeMarketClose("SPY", 1), self.ClosePositions)
def OnData(self, data):
for symbol, rsi in self.rsi.items():
if not rsi.IsReady:
continue
if rsi.Current.Value < 30:
self.SetHoldings(symbol, -0.25)
elif rsi.Current.Value > 70:
self.SetHoldings(symbol, 0.25)
def ClosePositions(self):
if self.Portfolio.Invested:
self.Liquidate()