| Overall Statistics |
|
Total Trades 86 Average Win 0.38% Average Loss -0.28% Compounding Annual Return 1.808% Drawdown 6.100% Expectancy 1.266 Net Profit 11.369% Sharpe Ratio 0.604 Probabilistic Sharpe Ratio 14.388% Loss Rate 3% Win Rate 97% Profit-Loss Ratio 1.34 Alpha 0.017 Beta -0.013 Annual Standard Deviation 0.025 Annual Variance 0.001 Information Ratio -0.672 Tracking Error 0.171 Treynor Ratio -1.214 Total Fees $88.00 Estimated Strategy Capacity $1300000000.00 Lowest Capacity Asset TQQQ UK280CGTCB51 |
class FormalFluorescentPinkCamel(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2015, 5, 14) # Set Start Date
self.SetEndDate(2021,5,14)
self.SetCash(100000) # Set Strategy Cash
self.AddEquity("TQQQ", Resolution.Daily).Symbol
self.window = RollingWindow[TradeBar](2)
def OnData(self, data):
if not data.Bars.ContainsKey("TQQQ"):
return
self.window.Add(data.Bars["TQQQ"])
if not self.window.IsReady:
return
low = self.window[0].Low
high = self.window[0].High
close = self.window[0].Close
Open = self.window[0].Open
low1 = self.window[1].Low
high1 = self.window[1].High
close1 = self.window[1].Close
if not self.Portfolio.Invested:
if (low < low1) and (high < high1) and (close < Open) and (close < close1):
self.ticket = self.StopMarketOrder("TQQQ", 100, high)
else:
if self.Securities["TQQQ"].Price > self.fill_price + 1:
self.Liquidate("TQQQ")
def OnOrderEvent(self, orderevent):
if orderevent.Status == OrderStatus.Filled:
self.fill_price = orderevent.FillPrice