Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
 
from AlgorithmImports import *

class SuperTrendATRStrategy(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2023, 9, 1)  # Set your desired start date
        self.SetCash(10000)  # Set your initial cash balance
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Cash)
        self.AddFuture(Futures.Indices.MicroSP500EMini)#self.AddFuture("MES", Resolution.Minute)
        self.AddSecurity(Futures.Indices.MicroSP500EMini, Resolution.Minute)#"MES", Resolution.Minute)
        self.SetExecution(ImmediateExecutionModel())
        
        # Define SuperTrend parameters
        self.supertrend = self.STR("MES", 1, 4, MovingAverageType.Wilders, Resolution.Minute)
    
        # Schedule the closing of positions at 3:45 PM
        self.Schedule.On(self.DateRules.EveryDay("MES"), self.TimeRules.At(15, 45), self.CloseAllPositions)
        
        # Indicator initialization
        
        
    def OnData(self, data):
        # Only trade between 8:00 and 15:00
        if self.Time.hour < 8 or self.Time.hour > 15:
            return
            if self.supertrend.IsReady:
                if not self.Portfolio.Invested:
                    if self.supertrend.Current.Value > self.Securities["MES"].Close:
                        self.MarketOrder("MES", 1)
                elif self.supertrend.Current.Value < self.Securities["MES"].Close:
                    self.MarketOrder("MES", -1)
            else:
                if self.supertrend.Current.Value > self.Securities["MES"].Close:
                    self.Liquidate("MES")
                elif self.supertrend.Current.Value < self.Securities["MES"].Close:
                    self.Liquidate("MES")

    def CloseAllPositions(self):
        self.Liquidate()