| Overall Statistics |
|
Total Trades 8 Average Win 0.16% Average Loss -0.22% Compounding Annual Return -1.620% Drawdown 1.200% Expectancy -0.143 Net Profit -0.125% Sharpe Ratio -0.968 Probabilistic Sharpe Ratio 30.322% Loss Rate 50% Win Rate 50% Profit-Loss Ratio 0.71 Alpha -0.02 Beta -0.008 Annual Standard Deviation 0.017 Annual Variance 0 Information Ratio 1.862 Tracking Error 0.256 Treynor Ratio 2.076 Total Fees $22.10 |
import datetime
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from time import sleep
class ControllClass(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 9, 1) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Cash)
self.Settings.FreePortfolioPercentage = 0.8
self.weekDays = ("Monday","Tuesday","Wednesday","Thursday","Friday","Saturday","Sunday")
self.symbols = []
self.openAt = datetime.time(15,55)
self.spy = self.AddEquity("SPY").Symbol
self.symbols.append(self.spy)
self.gld = self.AddEquity("GLD").Symbol
self.symbols.append(self.gld)
self.SetBenchmark(self.spy)
self.UniverseSettings.Resolution = Resolution.Minute
self.SetPortfolioConstruction( EqualWeightingPortfolioConstructionModel() )
self.Schedule.On(self.DateRules.Every(
DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Friday),
self.TimeRules.BeforeMarketClose(self.spy, 21), self.closePositions)
self.sma = self.SMA(self.spy, 34, Resolution.Daily)
self.SetWarmUp(timedelta(days=34))
def OnData(self, data):
if self.IsWarmingUp: return
if not self.Time.time() >= self.openAt: return
if self.Time.weekday() == 0:
if not self.Portfolio[self.spy].Invested and data[self.spy].Close < self.sma.Current.Value:
self.SetHoldings(self.spy, 1, True)
# self.Debug(str(self.Portfolio.Invested))
self.Debug(str(self.Securities[self.spy].Invested))
self.Debug(f"ist long {str(self.Portfolio[self.spy].IsLong)}")
self.Debug(f"Time {self.Time.weekday()}")
return
if self.Time.weekday() == 3:
if not self.Portfolio[self.gld].Invested:
self.SetHoldings(self.gld, 1, True)
self.Debug(str(self.Securities[self.gld].Invested))
self.Debug(f"ist long {str(self.Portfolio[self.gld].IsLong)}")
self.Debug(f"Time {self.Time.weekday()}")
return
def closePositions(self):
self.Liquidate()
def OnOrderEvent(self, event):
if event.Quantity == 0: return
self.Debug(str(event))