| Overall Statistics |
|
Total Trades 7 Average Win 3.42% Average Loss -3.21% Compounding Annual Return 4.357% Drawdown 7.700% Expectancy 0.378 Net Profit 0.845% Sharpe Ratio 0.311 Probabilistic Sharpe Ratio 36.862% Loss Rate 33% Win Rate 67% Profit-Loss Ratio 1.07 Alpha 0.083 Beta -0.216 Annual Standard Deviation 0.156 Annual Variance 0.024 Information Ratio -0.594 Tracking Error 0.186 Treynor Ratio -0.225 Total Fees $19.78 Estimated Strategy Capacity $320000000.00 Lowest Capacity Asset AAPL R735QTJ8XC9X |
class MomentumEffectAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 7, 1) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.UniverseSettings.Resolution = Resolution.Daily
self.macd = {} # Dict of Momentum indicator keyed by Symbol
self.num_coarse = 100 # Number of symbols selected at Coarse Selection
self.num_fine = 50 # Number of symbols selected at Fine Selection
self.userlist = ["AAPL"] #User list
self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction)
def CoarseSelectionFunction(self, coarse):
symbols = [x.Symbol for x in coarse if x.Symbol.Value in self.userlist]
return symbols
def FineSelectionFunction(self, fine):
symbols = [x.Symbol for x in fine if x.Symbol.Value in self.userlist]
return symbols
def OnData(self, data):
for i in self.Securities.Keys:
self.Debug(self.macd[i].Current.Value)
if self.macd[i].Current.Value > self.macd[i].Signal.Current.Value:
self.SetHoldings(i, 1)
elif self.macd[i].Signal.Current.Value > self.macd[i].Current.Value:
self.Liquidate(i)
def OnSecuritiesChanged(self, changes):
# Clean up data for removed securities and Liquidate
for security in changes.RemovedSecurities:
pass
for security in changes.AddedSecurities:
if security.Symbol not in self.macd:
self.macd[security.Symbol] = MovingAverageConvergenceDivergence(12, 26, 9, MovingAverageType.Exponential)
history = self.History(security.Symbol, 100, Resolution.Daily).loc[security.Symbol]
for idx, row in history.iterrows():
self.macd[security.Symbol].Update(idx, row['close'])
self.RegisterIndicator(security.Symbol, self.macd[security.Symbol], Resolution.Daily)