Overall Statistics |
Total Trades 5878 Average Win 0.03% Average Loss -0.02% Compounding Annual Return -3.708% Drawdown 5.200% Expectancy -0.040 Net Profit -2.887% Sharpe Ratio -0.695 Loss Rate 53% Win Rate 47% Profit-Loss Ratio 1.03 Alpha 0.138 Beta -10.269 Annual Standard Deviation 0.043 Annual Variance 0.002 Information Ratio -1.074 Tracking Error 0.043 Treynor Ratio 0.003 Total Fees $6065.31 |
import numpy as np import datetime class BasicTemplateAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2013,1,1) #Set Start Date self.SetEndDate(2013, 10,10) #Set End Date self.SetCash(100000) #Set Strategy Cash self.UniverseSettings.Resolution = Resolution.Minute self.AddUniverse(self.CoarseSelectionFunction) self.AddEquity("SPY",Resolution.Minute) self.__numberOfSymbols = 30 self.w = 1.0/self.__numberOfSymbols self.entry_minute = 30 self.exit_minute = 15 self.bigStocks = None self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.AfterMarketOpen("SPY",self.entry_minute), Action(self.EnterPosition)) self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.BeforeMarketClose("SPY",self.exit_minute), Action(self.ExitPosition)) def CoarseSelectionFunction(self, coarse): # self.Debug("coarse") selected = [x for x in coarse if (x.HasFundamentalData) and (float(x.Price) > 2)] sortedByDollarVolume = sorted(selected, key=lambda x: x.DollarVolume, reverse=True) self.bigStocks = [ x.Symbol for x in sortedByDollarVolume[:self.__numberOfSymbols] ] return self.bigStocks def EnterPosition(self): # self.Debug("Enter") self.entry_price = {} if self.bigStocks is None: return for stock in self.bigStocks: history = self.History(stock, self.entry_minute, Resolution.Minute) if 'close' in history.columns: delta = (history['close'][-1] - history['close'][0])/history['close'][-1] self.direction = np.sign(delta) if self.direction > 0: self.SetHoldings(stock, self.direction * self.w) self.entry_price[stock] = history['close'][-1] def ExitPosition(self): # self.Debug("end of day") for stock in self.entry_price: self.Liquidate(stock) def OnData(self, data): pass