| Overall Statistics |
|
Total Trades 2723 Average Win 0.72% Average Loss -0.46% Compounding Annual Return -3.695% Drawdown 41.100% Expectancy -0.072 Net Profit -40.239% Sharpe Ratio -0.17 Probabilistic Sharpe Ratio 0.000% Loss Rate 64% Win Rate 36% Profit-Loss Ratio 1.56 Alpha -0.006 Beta -0.197 Annual Standard Deviation 0.114 Annual Variance 0.013 Information Ratio -0.411 Tracking Error 0.211 Treynor Ratio 0.098 Total Fees $4593.44 Estimated Strategy Capacity $52000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
#region imports
from AlgorithmImports import *
#endregion
class DualThrustAlgorithm(QCAlgorithm):
def Initialize(self):
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
self.SetStartDate(2004,1,1)
self.SetEndDate(2017,8,30)
self.SetCash(100000)
equity = self.AddSecurity(SecurityType.Equity, "SPY", Resolution.Hour)
self.syl = equity.Symbol
# schedule an event to fire every trading day for a security
# the time rule here tells it to fire when market open
self.Schedule.On(self.DateRules.EveryDay(self.syl),self.TimeRules.AfterMarketOpen(self.syl,0),Action(self.SetSignal))
self.selltrig = None
self.buytrig = None
self.currentopen = None
def SetSignal(self):
k1 = 0.5
k2 = 0.5
self.high = []
self.low = []
self.close = []
history = self.History(4, Resolution.Daily)
for slice in history:
bar = slice[self.syl]
self.high.append(bar.High)
self.low.append(bar.Low)
self.close.append(bar.Close)
# Pull the open price on each trading day
self.currentopen = self.Portfolio[self.syl].Price
HH, HC, LC, LL = max(self.high), max(self.close), min(self.close), min(self.low)
if (HH - LC) >= (HC - LL):
signalrange = HH - LC
else:
signalrange = HC - LL
self.selltrig = self.currentopen - k2 * signalrange
self.buytrig = self.currentopen + k1 * signalrange
def OnData(self,data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''
if not data.ContainsKey(self.syl) or self.syl not in data.Keys:
return
holdings = self.Portfolio[self.syl].Quantity
self.Log('Holdings: ' + str(holdings))
if self.Portfolio[self.syl].Price >= self.buytrig:
if holdings >= 0:
self.SetHoldings(self.syl, 0.8)
else:
self.Liquidate(self.syl)
self.SetHoldings(self.syl, 0.8)
elif self.Portfolio[self.syl].Price < self.selltrig:
if holdings >= 0:
self.Liquidate(self.syl)
self.SetHoldings(self.syl, -0.8)
else:
self.SetHoldings(self.syl, -0.8)
self.Log("open: "+ str(self.currentopen)+" buy: "+str(self.buytrig)+" sell: "+str(self.selltrig))