| Overall Statistics |
|
Total Trades 960 Average Win 0.94% Average Loss -0.36% Compounding Annual Return 16.527% Drawdown 17.900% Expectancy 0.620 Net Profit 182.659% Sharpe Ratio 1.112 Probabilistic Sharpe Ratio 56.207% Loss Rate 55% Win Rate 45% Profit-Loss Ratio 2.64 Alpha 0.076 Beta 0.388 Annual Standard Deviation 0.106 Annual Variance 0.011 Information Ratio 0.076 Tracking Error 0.127 Treynor Ratio 0.303 Total Fees $1171.94 Estimated Strategy Capacity $74000000.00 Lowest Capacity Asset CMB R735QTJ8XC9X |
# MAC and MACD static portfolio
# ------------------------------------------------------------------------------------
STOCKS = ["AAPL", "MSFT", "GOOGL", "AMZN", "FB", "TSLA", "NVDA", "V", "JPM", "JNJ"];
MA_F = 5; MA_S = 20; FAST = 12; SLOW = 26; SIGN = 9; LEV = 0.95;
# ------------------------------------------------------------------------------------
class SimpleStockTrade_KOK(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2015, 1, 1)
self.SetEndDate(2021, 10, 15)
self.SetCash(100000)
res = Resolution.Daily
self.fast_sma = {}
self.slow_sma = {}
self.macd = {}
self.signalDeltaPercent = {}
self.stocks = [self.AddEquity(ticker, Resolution.Minute).Symbol for ticker in STOCKS]
for sec in self.stocks:
self.fast_sma[sec] = self.SMA(sec, MA_F, res)
self.slow_sma[sec] = self.SMA(sec, MA_S, res)
self.macd[sec] = self.MACD(sec, FAST, SLOW, SIGN, MovingAverageType.Exponential, res)
self.SetWarmUp(150)
def OnData(self, data):
if self.IsWarmingUp: return
if self.Time.time() != time(9, 31): return
for sec in self.stocks:
if not (self.fast_sma[sec].IsReady) or not (self.slow_sma[sec].IsReady): continue
if not (self.macd[sec].IsReady): continue
self.signalDeltaPercent[sec] = (self.macd[sec].Current.Value - self.macd[sec].Signal.Current.Value)/self.macd[sec].Fast.Current.Value
if self.Portfolio[sec].Quantity <= 0:
if self.slow_sma[sec] < self.fast_sma[sec] and self.signalDeltaPercent[sec] > 0:
self.SetHoldings(sec, LEV / len(self.stocks))
elif self.Portfolio[sec].Quantity > 0 :
if self.slow_sma[sec] > self.fast_sma[sec]:
self.Liquidate(sec)