Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return -95.522% Drawdown 8.400% Expectancy 0 Net Profit -8.158% Sharpe Ratio -3.276 Probabilistic Sharpe Ratio 0.000% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -1.021 Beta -0.126 Annual Standard Deviation 0.284 Annual Variance 0.08 Information Ratio -0.504 Tracking Error 0.385 Treynor Ratio 7.394 Total Fees $2.50 |
class BootCampTask(QCAlgorithm): # Order ticket for our stop order, Datetime when stop order was last hit stopMarketTicket = None stopMarketOrderFillTime = datetime.min highestSPYPrice = 0 def Initialize(self): self.SetStartDate(2018, 12, 1) self.SetEndDate(2018, 12, 10) self.SetCash(100000) spy = self.AddEquity("SPY", Resolution.Daily) spy.SetDataNormalizationMode(DataNormalizationMode.Raw) def OnData(self, data): if (self.Time - self.stopMarketOrderFillTime).days < 15: return if not self.Portfolio.Invested: self.MarketOrder("SPY", 500) self.stopMarketTicket = self.StopMarketOrder("SPY", -500, 0.9 * self.Securities["SPY"].Close) self.Debug("original stop price: {}".format(self.stopMarketTicket.Get(OrderField.StopPrice))) else: #1. Check if the SPY price is higher that highestSPYPrice. if self.Securities["SPY"].Close > self.highestSPYPrice: self.Debug("stop price before update: {}".format(self.stopMarketTicket.Get(OrderField.StopPrice))) #2. Save the new high to highestSPYPrice; then update the stop price to 90% of highestSPYPrice self.highestSPYPrice = self.Securities["SPY"].Close updateFields = UpdateOrderFields() updateFields.StopPrice = self.Securities["SPY"].Close * 0.9 self.stopMarketTicket.Update(updateFields) self.Debug("new stop price should be: {}".format(self.Securities["SPY"].Close * 0.9)) # alternative way to update? self.stopMarketTicket.UpdateStopPrice(self.Securities["SPY"].Close * 0.9) #3. Print the new stop price with Debug() self.Debug("stop price after update: {}".format(self.stopMarketTicket.Get(OrderField.StopPrice))) def OnOrderEvent(self, orderEvent): if orderEvent.Status != OrderStatus.Filled: return if self.stopMarketTicket is not None and self.stopMarketTicket.OrderId == orderEvent.OrderId: self.stopMarketOrderFillTime = self.Time