| Overall Statistics |
|
Total Trades 5 Average Win 0.07% Average Loss 0.00% Compounding Annual Return 0.758% Drawdown 0.100% Expectancy 82.734 Net Profit 0.085% Sharpe Ratio 1.555 Probabilistic Sharpe Ratio 57.752% Loss Rate 50% Win Rate 50% Profit-Loss Ratio 166.47 Alpha 0.004 Beta 0.005 Annual Standard Deviation 0.004 Annual Variance 0 Information Ratio -2.731 Tracking Error 0.143 Treynor Ratio 1.225 Total Fees $5.00 Estimated Strategy Capacity $110000000000.00 Lowest Capacity Asset F R735QTJ8XC9X |
class BootCampTask(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 1, 1)
self.SetEndDate(2021, 2, 10)
self.SetCash(100000)
self.symbol_data_by_symbol = {}
tickers = ['SPY', 'TSLA', 'F']
for ticker in tickers:
security = self.AddEquity(ticker, Resolution.Daily)
security.SetDataNormalizationMode(DataNormalizationMode.Raw)
self.symbol_data_by_symbol[security.Symbol] = {'stopMarketTicket': None,
'stopMarketOrderFillTime': datetime.min,
'highestPrice': -1}
def OnData(self, data):
for symbol, symbol_data in self.symbol_data_by_symbol.items():
# 1. Plot the current price
self.Plot(str(symbol), "Asset Price", data[symbol].Close)
if (self.Time - symbol_data['stopMarketOrderFillTime']).days < 15:
return
if not self.Portfolio[symbol].Invested:
self.MarketOrder(symbol, 1)
symbol_data['stopMarketTicket'] = self.StopMarketOrder(symbol, -1, 0.9 * self.Securities[symbol].Close)
else:
#2. Plot the moving stop price
self.Plot(str(symbol), "Stop Price", symbol_data['stopMarketTicket'].Get(OrderField.StopPrice))
if self.Securities[symbol].Close > symbol_data['highestPrice']:
symbol_data['highestPrice'] = self.Securities[symbol].Close
updateFields = UpdateOrderFields()
updateFields.StopPrice = symbol_data['highestPrice'] * 0.9
symbol_data['stopMarketTicket'].Update(updateFields)
def OnOrderEvent(self, orderEvent):
if orderEvent.Status != OrderStatus.Filled:
return
for symbol, symbol_data in self.symbol_data_by_symbol.items():
if symbol_data['stopMarketTicket'] is not None and symbol_data['stopMarketTicket'].OrderId == orderEvent.OrderId:
symbol_data['stopMarketOrderFillTime'] = self.Time