| Overall Statistics |
|
Total Trades 8 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio 0 Tracking Error 0 Treynor Ratio 0 Total Fees $8.00 Estimated Strategy Capacity $13000000.00 Lowest Capacity Asset AAPL R735QTJ8XC9X |
# 2SD with 3HULL and 7 HULL
# This algo waits until the price crosses the 2SD
# Then, the algo waits for a full turn on the 3HULL
# on a 3 minute chart. Then, algo waits until price
# is at or better the 7HULL. Stop loss at $0.10
from AlgorithmImports import *
#endregion
from QuantConnect.Data.Market import TradeBar
from datetime import timedelta
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
import decimal as d
import statistics
from System.Drawing import Color
class MyAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2022, 4, 19) # Set Start Date
self.SetEndDate(2022, 4, 19)
self.SetCash(250000) # Set Strategy Cash
#self.SetWarmup(100)
self.symbolData = dict()
self.myBBUpperTouches = []
self.myBBLowerTouches = []
self.myBBUpperCount = 0
self.myBBLowerCount = 0
self.myATR = []
self.myATR.append(0.45)
self.myATR.append(0.50)
self.myATR.append(0.60)
self.myLastLowerBB = 0
self.myLastHigherBB = 0
self.myTradeLong = 0
self.myTradeShort = 0
# Specify "Long" or "Short"
self.whichTradeIsNext = "None"
# Specify "Long" or "Short"
self.whichWay3HULL = "None"
self.isFirstTime = 1
self.myLastLow = 0
self.myLastHigh = 0
self.myHighestHigh = 0
self.myLowestLow = 0
self.myHighs = []
self.myCloses = []
self.myLows = []
# This is the amount below or above the high / low of the last bar to stop us out
self.belowHighLow = 0.12
myHullShortLength = 9
myHullLongLength = 21
self.myPrices = []
self.myVolumes = []
self.myPricesSum = []
self.myVolumesSum = []
self.myPriceTimesVolumeSum = []
self.myVWAP = []
self.myHullShort = []
self.myHullLong = []
self.isHitAbove2SD = 0
self.isHitBelow2SD = 0
self.isHullGreenToRed = 0
self.isHullRedToGreen = 0
self.isLimitOrder = 0
self.myOrderPrice = 0
self.isInShortTrade = 0
self.isInLongTrade = 0
self.hull3Price = 0
self.myHMAShort = HullMovingAverage(myHullShortLength)
self.myHMALong = HullMovingAverage(myHullLongLength)
self.my2SDHigh = 0
self.my2SDLow = 0
self.myCurrent7HULLPrice = 0
self.isInShortTrade = 0
self.isInLongTrade = 0
for ticker in ["AAPL"]:
symbol = self.AddEquity(ticker, Resolution.Second, Market.USA, True, 0, True).Symbol
self.RegisterIndicator(symbol, self.myHMAShort, Resolution.Minute)
self.RegisterIndicator(symbol, self.myHMALong, Resolution.Minute)
self.bb25 = self.BB(symbol, 1200, 2.5)
self.bb20 = self.BB(symbol, 1200, 2.0)
self.bb10 = self.BB(symbol, 1200, 1.0)
self.aapl = symbol
consolidator_minute = TradeBarConsolidator(180)
consolidator_minute.DataConsolidated += self.OnThreeMinuteData
self.SubscriptionManager.AddConsolidator(symbol, consolidator_minute)
self.Schedule.On(self.DateRules.EveryDay(),
self.TimeRules.At(15, 59, 52),
Action(self.End_of_day_liquidate))
self.Schedule.On(self.DateRules.EveryDay(),
self.TimeRules.At(16, 00, 00),
Action(self.Resetting))
def OnThreeMinuteData(self, sender, bar):
myVolumesSumTemp = 0
myPricesSumTemp = 0
myPriceTimesVolumeSumTemp = 0
myVWAPTemp = 0
myHighSD = 0
myLowSD = 0
myCurrentPrice = 0
symbol = self.aapl
myCurrentPrice = self.Securities[symbol].Open
self.myVolumes.append(self.Securities[symbol].Volume)
for x in self.myVolumes:
myVolumesSumTemp += x
self.myVolumesSum.append(myVolumesSumTemp)
self.myPrices.append(myCurrentPrice)
for x in self.myPrices:
myPricesSumTemp += x
self.myPricesSum.append(myPricesSumTemp)
myPriceTimesVolumeTemp = myCurrentPrice * self.Securities[symbol].Volume
self.myPriceTimesVolumeSum.append(myPriceTimesVolumeTemp)
for x in self.myPriceTimesVolumeSum:
myPriceTimesVolumeSumTemp += x
myVWAPTemp = (myPriceTimesVolumeSumTemp)/myVolumesSumTemp
self.myVWAP.append(myVWAPTemp)
if(len(self.myVWAP) > 1):
myHighSD = myVWAPTemp + ( 2.0 * statistics.stdev(self.myPrices) )
myLowSD = myVWAPTemp - ( 2.0 * statistics.stdev(self.myPrices) )
else:
myHighSD = myVWAPTemp
myLowSD = myVWAPTemp
self.myHullShort.append(self.myHMAShort.Current.Value)
myHullShortLen = len(self.myHullShort)
self.myHullLong.append(self.myHMALong.Current.Value)
myHullLongLen = len(self.myHullLong)
#if( myHullLongLen >= 21 ):
# self.Plot(symbol, "High 2SD", myHighSD)
# self.Plot(symbol, "MYVWAP", myVWAPTemp)
# self.Plot(symbol, "Price", myCurrentPrice)
# self.Plot(symbol, "Low 2SD", myLowSD)
self.my2SDHigh = myHighSD
self.my2SDLow = myLowSD
if(bar.High >= myHighSD):
self.isHitAbove2SD = 1
else:
self.isHitAbove2SD = 0
if(bar.Low < myLowSD):
self.isHitBelow2SD = 1
else:
self.isHitBelow2SD = 0
if(len(self.myHullShort) >= 2 and self.myHullShort[-1] < self.myHullShort[-2]):
self.whichWay3HULL = "Short"
if(len(self.myHullShort) >= 2 and self.myHullShort[-1] > self.myHullShort[-2]):
self.whichWay3HULL = "Long"
self.myCurrent7HULLPrice = self.myHMALong.Current.Value
# Do not trade until 10AM
if(self.Time.hour > 9 and self.Time.hour < 16):
if( myHullLongLen >= 21 ):
self.Plot(symbol, "High 2SD", myHighSD)
#self.Plot(symbol, "MYVWAP", myVWAPTemp)
self.Plot(symbol, "Price", myCurrentPrice)
self.Plot(symbol, "Low 2SD", myLowSD)
self.myATR.append(bar.High - bar.Low)
self.myATR.pop(0)
self.myATRAverage = sum(self.myATR) / len(self.myATR)
self.myLastLow = bar.Low
self.myLastHigh = bar.High
self.myHighs.append(bar.High)
self.myCloses.append(bar.Close)
self.myLows.append(bar.Low)
self.myHighestHigh = max(self.myCloses)
self.myLowestLow = min(self.myCloses)
if(bar.High > self.bb20.UpperBand.Current.Value):
self.myLastHigherBB = 1
else:
self.myLastHigherBB = 0
if(bar.Low < self.bb20.LowerBand.Current.Value):
self.myLastLowerBB = 1
else:
self.myLastLowerBB = 0
if(self.whichTradeIsNext == "Short" and self.myLastHigherBB <= 20 and bar.Low <= self.bb20.LowerBand.Current.Value):
self.myTradeShort = 1
if(self.whichTradeIsNext == "Long" and self.myLastLowerBB <= 20 and bar.High >= self.bb20.UpperBand.Current.Value):
self.myTradeLong = 1
#if(bar.High >= self.bb20.UpperBand.Current.Value):
# self.isFirstTime = 0
# self.whichTradeIsNext = "Short"
#if(bar.Low <= self.bb20.LowerBand.Current.Value):
# self.isFirstTime = 0
# self.whichTradeIsNext = "Long"
def Resetting(self):
self.myBBUpperCount = 0
self.myBBLowerCount = 0
self.isInShortTrade = 0
self.isInLongTrade = 0
self.myLastHigherBB = 0
self.myLastLowerBB = 0
self.isLookingToShort = 0
self.isLookingToLong = 0
self.myTradeShort = 0
self.myTradeLong = 0
self.isFirstTime = 1
self.myPrices.clear()
self.myVolumes.clear()
self.myPricesSum.clear()
self.myVolumesSum.clear()
self.myPriceTimesVolumeSum.clear()
self.myVWAP.clear()
self.myHullShort.clear()
self.myHullLong.clear()
self.isHitAbove2SD = 0
self.isHitBelow2SD = 0
self.myOrderPrice = 0
self.isHullGreenToRed = 0
self.isHullRedToGreen = 0
self.isLimitOrder = 0
self.myOrderPrice = 0
self.isInShortTrade = 0
self.isInLongTrade = 0
self.hull3Price = 0
self.my2SDHigh = 0
self.my2SDLow = 0
self.myCurrent7HULLPrice = 0
def OnData(self, data):
# Do not trade until 10AM, do not trade the last minute of the day
timeCombined = str(self.Time.hour) + str(self.Time.minute)
if(self.Time.hour > 9 and self.Time.hour < 16 and timeCombined != "1559"):
myCurrentPrice = self.Securities[self.aapl].Open
#if(myCurrentPrice - self.bb20.MiddleBand.Current.Value < 0.25):
# self.isHitAbove2SD = 0
#if(self.bb20.MiddleBand.Current.Value - myCurrentPrice < 0.25):
# self.isHitBelow2SD = 0
if(self.isInShortTrade == 0 and self.isHitAbove2SD == 1 and self.whichWay3HULL == "Short" and myCurrentPrice >= self.myCurrent7HULLPrice):
ticket = self.MarketOrder(self.aapl, -100)
self.isInShortTrade = 1
self.myTradeShort = 0
#self.Debug(timeString + " Short Trade: {0}".format(myCurrentPrice))
if(self.isInLongTrade == 0 and self.isHitBelow2SD == 1 and self.whichWay3HULL == "Long" and myCurrentPrice <= self.myCurrent7HULLPrice):
ticket = self.MarketOrder(self.aapl, 100)
self.isInLongTrade = 1
self.myTradeLong = 0
#self.Debug(timeString + " Long Trade: {0}".format(myCurrentPrice))
# Once we have made $0.30, then tighten the stop loss
#if(self.Portfolio[self.aapl].UnrealizedProfit >= 30 and self.belowHighLow != -0.10):
# self.belowHighLow = 0.02
# Once we have made $0.50, then tighten the stop loss even further
#if(self.Portfolio[self.aapl].UnrealizedProfit >= 50):
# self.belowHighLow = -0.10
if(self.isInLongTrade == 1 and myCurrentPrice >= self.bb20.UpperBand.Current.Value - 0.03):
self.Liquidate(self.aapl)
self.isInLongTrade = 0
self.whichTradeIsNext = "Short"
self.myTradeShort = 0
self.myTradeLong = 0
self.belowHighLow = 0.12
self.isHitBelow2SD = 0
if(self.isInShortTrade == 1 and myCurrentPrice <= self.bb20.LowerBand.Current.Value + 0.03):
self.Liquidate(self.aapl)
self.isInShortTrade = 0
self.whichTradeIsNext = "Long"
self.myTradeShort = 0
self.myTradeLong = 0
self.belowHighLow = 0.12
self.isHitAbove2SD = 0
if((self.isInShortTrade == 1 or self.isInLongTrade == 1) and (self.Portfolio[self.aapl].UnrealizedProfit <= -10)):
self.Liquidate(self.aapl)
if(self.isInShortTrade == 1):
self.whichTradeIsNext = "Long"
else:
self.whichTradeIsNext = "Short"
self.isInShortTrade = 0
self.isInLongTrade = 0
self.isHitAbove2SD = 0
self.isHitBelow2SD = 0
self.myTradeShort = 0
self.myTradeLong = 0
self.belowHighLow = 0.12
def End_of_day_liquidate(self):
self.Liquidate()
#self.Debug("Liquidate End of Day: {0}".format(self.Securities["AAPL"].Open))