| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return -95.522% Drawdown 8.400% Expectancy 0 Net Profit -8.158% Sharpe Ratio -3.203 Probabilistic Sharpe Ratio 0.000% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -1.029 Beta -0.137 Annual Standard Deviation 0.29 Annual Variance 0.084 Information Ratio -0.493 Tracking Error 0.394 Treynor Ratio 6.783 Total Fees $2.50 Estimated Strategy Capacity $910000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
class BootCampTask(QCAlgorithm):
# Order ticket for our stop order, Datetime when stop order was last hit
stopMarketTicket = None
stopMarketOrderFillTime = datetime.min
highestSPYPrice = 0
def Initialize(self):
self.SetStartDate(2018, 12, 1)
self.SetEndDate(2018, 12, 10)
self.SetCash(100000)
spy = self.AddEquity("SPY", Resolution.Daily)
spy.SetDataNormalizationMode(DataNormalizationMode.Raw)
def OnData(self, data):
if (self.Time - self.stopMarketOrderFillTime).days < 15:
return
if not self.Portfolio.Invested:
self.MarketOrder("SPY", 500)
self.stopMarketTicket = self.StopMarketOrder("SPY", -500, 0.9 * self.Securities["SPY"].Close)
else:
#1. Check if the SPY price is higher that highestSPYPrice.
if self.Securities["SPY"].Close > self.highestSPYPrice:
#2. Save the new high to highestSPYPrice; then update the stop price to 90% of highestSPYPrice
self.highestSPYPrice = self.Securities["SPY"].Close
updateFields = UpdateOrderFields()
updateFields.StopPrice = self.highestSPYPrice * 0.9
self.stopMarketTicket.Update(updateFields)
#3. Print the new stop price with Debug()
self.Debug("SPY: " + str(self.highestSPYPrice) + " Stop: " + str(updateFields.StopPrice))
def OnOrderEvent(self, orderEvent):
if orderEvent.Status != OrderStatus.Filled:
return
if self.stopMarketTicket is not None and self.stopMarketTicket.OrderId == orderEvent.OrderId:
self.stopMarketOrderFillTime = self.Time