| Overall Statistics |
|
Total Trades 950 Average Win 0.26% Average Loss -0.24% Compounding Annual Return 4.527% Drawdown 6.200% Expectancy 0.067 Net Profit 7.624% Sharpe Ratio 0.682 Probabilistic Sharpe Ratio 33.308% Loss Rate 48% Win Rate 52% Profit-Loss Ratio 1.06 Alpha 0.033 Beta 0.157 Annual Standard Deviation 0.07 Annual Variance 0.005 Information Ratio -0.32 Tracking Error 0.142 Treynor Ratio 0.306 Total Fees $951.47 Estimated Strategy Capacity $13000000.00 Lowest Capacity Asset TSLA UNU3P8Y3WFAD |
class BootCampTask(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2017, 10, 2)
self.SetEndDate(2019, 5, 30)
self.SetCash(100000)
self.SetSecurityInitializer(self.CustomSecurityInitializer)
tickers = ['SPY','TSLA']
self.symbol_data_by_symbol = {}
for ticker in tickers:
openingBar = None
symbol = self.AddEquity(ticker, Resolution.Minute).Symbol
self.symbol_data_by_symbol[symbol] = SymbolData()
self.Consolidate(symbol, timedelta(minutes=30), self.OnDataConsolidated)
self.Schedule.On(self.DateRules.EveryDay(symbol), self.TimeRules.At(13,30), self.ClosePositions)
#3. Create a scheduled event triggered at 13:30 calling the ClosePositions function
self.stopPrice = self.GetParameter("stop")
def CustomSecurityInitializer(self, security):
security.SetDataNormalizationMode(DataNormalizationMode.Raw)
def OnData(self, data):
for symbol, symbol_data in self.symbol_data_by_symbol.items():
if symbol_data.openingBar is None: continue
if not data.Bars.ContainsKey(symbol):
continue
if data.Bars[symbol].Close > symbol_data.openingBar.High and not self.Securities[symbol].Invested:
quantity = self.CalculateOrderQuantity(symbol, 0.45)
self.MarketOrder(symbol, quantity) # orders 45% of portfolio
symbol_data.stopMarketTicket = self.StopMarketOrder(symbol, -self.Portfolio[symbol].Quantity, data.Bars[symbol].Close * 0.9)
continue
if self.Securities[symbol].Invested and data.Bars[symbol].Close > symbol_data.highestPrice:
symbol_data.highestPrice = self.Securities[symbol].Close
updateFields = UpdateOrderFields()
updateFields.StopPrice = symbol_data.highestPrice * self.stopPrice
symbol_data.stopMarketTicket.Update(updateFields)
def OnOrderEvent(self, orderEvent):
if orderEvent.Status != OrderStatus.Filled:
self.symbol_data_by_symbol[orderEvent.Symbol].openingBar = None
return
if self.symbol_data_by_symbol[orderEvent.Symbol].stopMarketTicket is not None and self.symbol_data_by_symbol[orderEvent.Symbol].stopMarketTicket.OrderId == orderEvent.OrderId:
self.symbol_data_by_symbol[orderEvent.Symbol].stopMarketOrderFillTime = self.Time
def OnDataConsolidated(self, bar):
self.Log(f"Bar at {self.Time} for {bar.Symbol}")
if bar.Time.hour == 9 and bar.Time.minute == 30:
self.symbol_data_by_symbol[bar.Symbol].openingBar = bar
def ClosePositions(self):
#2. Set self.openingBar to None, and liquidate TSLA
for symbolData in self.symbol_data_by_symbol.values():
symbolData.openingBar = None
self.Liquidate() # liquidate entire portfolio
class SymbolData:
def __init__(self):
# Order ticket for our stop order, Datetime when stop order was last hit
self.stopMarketTicket = None
self.stopMarketOrderFillTime = datetime.min
self.highestPrice = 0
self.openingBar = None