| Overall Statistics |
|
Total Trades 4 Average Win 0.05% Average Loss 0% Compounding Annual Return 0.111% Drawdown 0% Expectancy 0 Net Profit 0.110% Sharpe Ratio 1.175 Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0.001 Beta 0 Annual Standard Deviation 0.001 Annual Variance 0 Information Ratio -0.019 Tracking Error 0.131 Treynor Ratio -3.836 Total Fees $0.00 |
using System;
using System.Globalization;
using QuantConnect.Data;
using QuantConnect.Data.Market;
namespace QuantConnect.Algorithm.CSharp.My_Algorithms
{
public class ES5minData : TradeBar
{
public decimal UpperShadow { get; set; }
public decimal LowerShadow { get; set; }
public decimal HighLow { get; set; }
public decimal RealBody { get; set; }
public decimal UpperShadowPercent { get; set; }
public decimal LowerShadowPercent { get; set; }
public override DateTime EndTime
{
get { return (Time + Period); }
set { Time = (value - Period); }
}
public new TimeSpan Period
{
get { return TimeSpan.FromMinutes(5); }
}
public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
{
return new SubscriptionDataSource("https://www.dropbox.com/s/2jiaz2b9nv04doj/ES%202015-01-02%20-%202015-12-31%20-%20EST.csv?dl=1",
/* "https://www.dropbox.com/s/2til1kzb6s4snpw/ES%202016-01-04%20-%202016-12-30%20-%20EST.csv?dl=1",*/ SubscriptionTransportMedium.RemoteFile);
}
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
ES5minData cmBar = new ES5minData();
try
{
var data = line.Split(',');
//Required.
cmBar.Symbol = "ES";
if (data[1].Length == 5)
{
var theDate = DateTime.ParseExact(data[0], "yyyyMMdd", CultureInfo.InvariantCulture);
var theTime = TimeSpan.ParseExact(data[1].Insert(0, "0"), "hhmmss", CultureInfo.InvariantCulture);
cmBar.Time = theDate + theTime;
}
else
{
var theDate = DateTime.ParseExact(data[0], "yyyyMMdd", CultureInfo.InvariantCulture);
var theTime = TimeSpan.ParseExact(data[1], "hhmmss", CultureInfo.InvariantCulture);
cmBar.Time = theDate + theTime;
}
cmBar.Open = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);
cmBar.High = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);
cmBar.Low = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture);
cmBar.Close = Convert.ToDecimal(data[5], CultureInfo.InvariantCulture);
cmBar.Volume = Convert.ToInt64(data[6], CultureInfo.InvariantCulture);
cmBar.Value = cmBar.Close;
if (cmBar.Close > cmBar.Open)
{
cmBar.UpperShadow = (cmBar.High - cmBar.Close);
cmBar.LowerShadow = (cmBar.Open - cmBar.Low);
cmBar.RealBody = (cmBar.Close - cmBar.Open);
}
else
{
cmBar.UpperShadow = (cmBar.High - cmBar.Open);
cmBar.LowerShadow = (cmBar.Close - cmBar.Low);
cmBar.RealBody = (cmBar.Open - cmBar.Close);
}
cmBar.HighLow = (cmBar.High - cmBar.Low);
cmBar.UpperShadowPercent = (cmBar.UpperShadow / cmBar.HighLow * 100);
cmBar.LowerShadowPercent = (cmBar.LowerShadow / cmBar.HighLow * 100);
}
catch
{
}
return cmBar;
}
}
}using System;
using System.Globalization;
using QuantConnect.Data;
using QuantConnect.Data.Market;
namespace QuantConnect.Algorithm.CSharp.My_Algorithms
{
public class ES5minData_NoOvernight : TradeBar
{
public decimal UpperShadow { get; set; }
public decimal LowerShadow { get; set; }
public decimal HighLow { get; set; }
public decimal RealBody { get; set; }
public decimal UpperShadowPercent { get; set; }
public decimal LowerShadowPercent { get; set; }
public override DateTime EndTime
{
get { return (Time + Period); }
set { Time = (value - Period); }
}
public new TimeSpan Period
{
get { return TimeSpan.FromMinutes(5); }
}
public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
{
return new SubscriptionDataSource( "https://www.dropbox.com/s/2jiaz2b9nv04doj/ES%202015-01-02%20-%202015-12-31%20-%20EST.csv?dl=1",
/* "https://www.dropbox.com/s/2til1kzb6s4snpw/ES%202016-01-04%20-%202016-12-30%20-%20EST.csv?dl=1",*/ SubscriptionTransportMedium.RemoteFile);
}
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
ES5minData_NoOvernight cmBar = new ES5minData_NoOvernight();
try
{
var data = line.Split(',');
//Required.
cmBar.Symbol = "ES";
if (data[1].Length == 5)
{
var theDate = DateTime.ParseExact(data[0], "yyyyMMdd", CultureInfo.InvariantCulture);
var theTime = TimeSpan.ParseExact(data[1].Insert(0, "0"), "hhmmss", CultureInfo.InvariantCulture);
cmBar.Time = theDate + theTime;
}
else
{
var theDate = DateTime.ParseExact(data[0], "yyyyMMdd", CultureInfo.InvariantCulture);
var theTime = TimeSpan.ParseExact(data[1], "hhmmss", CultureInfo.InvariantCulture);
cmBar.Time = theDate + theTime;
}
// excludes overnight data
if (cmBar.Time.TimeOfDay < new TimeSpan(9, 30, 00) ||
cmBar.Time.TimeOfDay > new TimeSpan(16, 10, 00))
{
return null;
}
cmBar.Open = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);
cmBar.High = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);
cmBar.Low = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture);
cmBar.Close = Convert.ToDecimal(data[5], CultureInfo.InvariantCulture);
cmBar.Volume = Convert.ToInt64(data[6], CultureInfo.InvariantCulture);
cmBar.Value = cmBar.Close;
if (cmBar.Close > cmBar.Open)
{
cmBar.UpperShadow = (cmBar.High - cmBar.Close);
cmBar.LowerShadow = (cmBar.Open - cmBar.Low);
cmBar.RealBody = (cmBar.Close - cmBar.Open);
}
else
{
cmBar.UpperShadow = (cmBar.High - cmBar.Open);
cmBar.LowerShadow = (cmBar.Close - cmBar.Low);
cmBar.RealBody = (cmBar.Open - cmBar.Close);
}
cmBar.HighLow = (cmBar.High - cmBar.Low);
cmBar.UpperShadowPercent = (cmBar.UpperShadow / cmBar.HighLow * 100);
cmBar.LowerShadowPercent = (cmBar.LowerShadow / cmBar.HighLow * 100);
}
catch
{
}
return cmBar;
}
}
}using System;
using QuantConnect.Indicators;
using QuantConnect.Orders;
namespace QuantConnect.Algorithm.CSharp.My_Algorithms
{
public class ScRbThruAndMostBelowT_afterNmsRbAboveT_TaboveSMA : QCAlgorithm
{
private string _symbol = "ES";
private string _symbol_sma = "ES_sma";
ExponentialMovingAverage _ema;
SimpleMovingAverage _sma;
public RollingWindow<ES5minData> BarHistory = new RollingWindow<ES5minData>(3);
public RollingWindow<decimal> EmaHistory = new RollingWindow<decimal>(3);
public RollingWindow<decimal> SmaHistory = new RollingWindow<decimal>(3);
private DateTime liquidationTime;
public override void Initialize()
{
SetStartDate(2015, 01, 04); //Set Start Date
SetEndDate(2015, 12, 31); //Set End Date
SetCash(100000); //Set Strategy Cash
AddData<ES5minData>(_symbol);
AddData<ES5minData_NoOvernight>(_symbol_sma);
_ema = EMA(_symbol, 8);
_sma = SMA(_symbol_sma, 40);
}
public void OnData(ES5minData_NoOvernight data)
{
SmaHistory.Add(_sma);
}
public void OnData(ES5minData data)
{
if (data.Time.TimeOfDay < new TimeSpan(9, 30, 00) ||
data.Time.TimeOfDay > new TimeSpan(12, 00, 00))
return;
BarHistory.Add(data);
EmaHistory.Add(_ema);
if (!BarHistory.IsReady) return;
// priorBar[0] = present Bar; priorBar[1] = previous Bar;
decimal lowTail = BarHistory[0].LowerShadowPercent.RoundToSignificantDigits(4);
// if 1. [0]Candle's RealBody (>= 0.75) is Down on higher vol + thru EMA-8 & most(2/3) below it , Low Tail is b/n 15-35%, + after
// 2. prior Candle [1] is down on lower vol, RealBody >= 0.50 (not Doji) + [1]RB <= [0]RB + above EMA; and
// 3. EMA-8 (or T-line) - above SMA-40 (exclude overnight data - 16:10pm to 9:30pm)
// 4. expect a Move Up
if (BarHistory[0].RealBody > (decimal)0.75 && BarHistory[0].Close < BarHistory[0].Open && BarHistory[0].Volume > BarHistory[1].Volume &&
BarHistory[0].LowerShadowPercent >= 15 && BarHistory[0].LowerShadowPercent <= 35 && BarHistory[0].RealBody >= BarHistory[1].RealBody &&
BarHistory[0].Open > EmaHistory[0] && ((BarHistory[0].Open - BarHistory[0].Close)*2/3 + BarHistory[0].Close) < EmaHistory[0] &&
BarHistory[1].Close < BarHistory[1].Open && BarHistory[1].Volume < BarHistory[2].Volume && BarHistory[1].RealBody > (decimal)0.50 &&
BarHistory[1].Close > EmaHistory[1] && EmaHistory[0] > SmaHistory[0])
{
Debug(BarHistory[0].Time + " --> found ScRbThruAndMostBelowT_afterNmsRbAboveT_TaboveSMA ");
Debug("EMA = " + _ema + "; SMA = " + _sma);
if (!Portfolio.HoldStock && Time >= BarHistory[0].EndTime) // if not invested + at or after Bar's Close Time
{
SetHoldings(_symbol, 1); // Go Long 100% of portfolio cash value
}
}
if (Portfolio.HoldStock && Time >= liquidationTime) // if invested + now at or after liqudation Time
{
SetHoldings(_symbol, 0, true); // Liquidate 100% of position
}
}
public override void OnOrderEvent(OrderEvent orderEvent)
{
if (orderEvent.Status.IsFill()) // if order filled, then ...
{
liquidationTime = Time.AddMinutes(5); // ... liquidation time = 5 min after our candle's close.
}
}
}
}