| Overall Statistics |
|
Total Trades 3 Average Win 0% Average Loss -0.43% Compounding Annual Return -11.252% Drawdown 0.600% Expectancy -1 Net Profit -0.294% Sharpe Ratio -2.813 Probabilistic Sharpe Ratio 23.439% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.094 Beta -0.013 Annual Standard Deviation 0.031 Annual Variance 0.001 Information Ratio 1.041 Tracking Error 0.38 Treynor Ratio 6.853 Total Fees $3.00 |
class VentralResistanceAutosequencers(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020,6,10) # Set Start Date
self.SetEndDate(2020,6,18)
self.spy = self.AddEquity("SPY", Resolution.Daily)
self.SetCash(250000) # Set Strategy Cash
self.sma_high = self.SMA("SPY", 8, Resolution.Daily, Field.High)
self.sma_low = self.SMA("SPY", 8, Resolution.Daily, Field.Low)
self.window = RollingWindow[TradeBar](2)
self.sma_high.Updated += self.SmaUpdated
self.smaWin = RollingWindow[IndicatorDataPoint](2)
self.sma_low.Updated += self.SmaUpdated_low
self.smaWinn = RollingWindow[IndicatorDataPoint](2)
def SmaUpdated(self, sender, updated):
self.smaWin.Add(updated)
def SmaUpdated_low(self, sender, updated):
self.smaWinn.Add(updated)
def OnData(self, data):
if self.IsWarmingUp: return
self.window.Add(data["SPY"])
if not (self.window.IsReady and self.smaWin.IsReady): return
if (not self.Portfolio.Invested) :
self.MarketOrder("SPY",100)
Open = self.Securities["SPY"].Open
self.StopMarketOrder("SPY",-100, Open* 0.95)
if (self.Portfolio.Invested):
self.Debug("Total unrealized profit: " + str(self.Portfolio.TotalUnrealizedProfit)+ "this is the spy sma 8 high " + str(self.smaWin[0].Value))
def OnOrderEvent(self, orderEvent):
if orderEvent.Status == OrderStatus.Filled:
self.lastOrderEvent = orderEvent
self.Debug("this is the order event"+str(orderEvent.OrderId))