Overall Statistics |
Total Trades 71 Average Win 1.41% Average Loss -1.51% Compounding Annual Return 0.558% Drawdown 10.200% Expectancy 0.097 Net Profit 3.449% Sharpe Ratio 0.107 Loss Rate 43% Win Rate 57% Profit-Loss Ratio 0.94 Alpha 0.004 Beta -0.08 Annual Standard Deviation 0.057 Annual Variance 0.003 Information Ratio 0.315 Tracking Error 0.113 Treynor Ratio -0.076 Total Fees $0.00 |
from datetime import datetime import decimal import numpy as np class DynamicBreakoutAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2010,1,15) self.SetEndDate(2016,2,15) self.SetCash(100000) fx = self.AddForex("EURUSD", Resolution.Hour, Market.Oanda) self.syl = fx.Symbol self.Schedule.On(self.DateRules.EveryDay(self.syl), self.TimeRules.BeforeMarketClose(self.syl,1),Action(self.SetSignal)) self.numdays = 20 self.ceiling,self.floor = 60,20 self.buypoint, self.sellpoint= None, None self.longLiqPoint, self.shortLiqPoint, self.yesterdayclose= None, None, None self.SetBenchmark(self.syl) self.Bolband = self.BB(self.syl, self.numdays, 2, MovingAverageType.Simple, Resolution.Daily) def SetSignal(self): close = self.History(self.syl, 31, Resolution.Daily)['close'] todayvol = np.std(close[1:31]) yesterdayvol = np.std(close[0:30]) deltavol = (todayvol - yesterdayvol) / todayvol self.numdays = int(round(self.numdays * (1 + deltavol))) if self.numdays > self.ceiling: self.numdays = self.ceiling elif self.numdays < self.floor: self.numdays = self.floor self.high = self.History(self.syl, self.numdays, Resolution.Daily)['high'] self.low = self.History(self.syl, self.numdays, Resolution.Daily)['low'] self.buypoint = max(self.high) self.sellpoint = min(self.low) historyclose = self.History(self.syl, self.numdays, Resolution.Daily)['close'] self.longLiqPoint = np.mean(historyclose) self.shortLiqPoint = np.mean(historyclose) self.yesterdayclose = historyclose.iloc[-1] # wait for our BollingerBand to fully initialize if not self.Bolband.IsReady: return holdings = self.Portfolio[self.syl].Quantity if self.yesterdayclose > self.Bolband.UpperBand.Current.Value and self.Portfolio[self.syl].Price >= self.buypoint: self.SetHoldings(self.syl, 1) elif self.yesterdayclose < self.Bolband.LowerBand.Current.Value and self.Portfolio[self.syl].Price <= self.sellpoint: self.SetHoldings(self.syl, -1) if holdings > 0 and self.Portfolio[self.syl].Price <= self.shortLiqPoint: self.Liquidate(self.syl) elif holdings < 0 and self.Portfolio[self.syl].Price >= self.shortLiqPoint: self.Liquidate(self.syl) self.Log(str(self.yesterdayclose)+(" # of days ")+(str(self.numdays))) def OnData(self,data): pass