All-Time High Breakout with ATR Trailing Stop

1import numpy as np
2from AlgoLib import *
3
4class TrendFollowingEffectinStocks(XXX):
5
6def Initialize(self):
7self.SetStartDate(2010, 1, 1)
8self.SetCash(100000)
9
10self.fundamental_count:int = 100
11self.fundamental_sorting_key = lambda x: x.DollarVolume
12
13self.long:List[Symbol] = []
14
15self.max_close:Dict[Symbol, float] = {}
16self.atr:Dict[Symbol, AverageTrueRange] = {}
17self.atr_period:int = 10
18
19self.sl_order:Dict[Symbol, OrderTicket] = {}
20self.sl_price:Dict[Symbol, float] = {}
21
22self.selection:List[Symbol] = []
23self.period:int = 10*12*21
24self.min_share_price:float = 5.
25
26self.UniverseSettings.Resolution = Resolution.Daily
27self.AddUniverse(self.FundamentalSelectionFunction)
28self.Settings.MinimumOrderMarginPortfolioPercentage = 0.
29
30def OnSecuritiesChanged(self, changes):
31for security in changes.AddedSecurities:
32    security.SetFeeModel(CustomFeeModel())
33    
34    symbol = security.Symbol
35    if symbol not in self.atr:
36        self.atr[symbol] = self.ATR(symbol, self.atr_period, Resolution.Daily)
37        
38    if symbol not in self.max_close:
39        hist = self.History([self.Symbol(symbol)], self.period, Resolution.Daily)
40        if 'close' in hist.columns:
41            closes:pd.Series = hist['close']
42            self.max_close[symbol] = max(closes)
43    
44def FundamentalSelectionFunction(self, fundamental: List[Fundamental]) -> None:
45selected:List[Fundamental] = [x for x in fundamental if x.HasFundamentalData and x.AdjustedPrice >= self.min_share_price]
46
47if len(selected) > self.fundamental_count:
48    selected = [x for x in sorted(selected, key=self.fundamental_sorting_key, reverse=True)[:self.fundamental_count]]
49
50self.selection = list(map(lambda x: x.Symbol, selected))
51
52return self.selection
53
54def OnData(self, data: Slice) -> None:
55if self.IsWarmingUp:
56    return
57
58for symbol in self.selection:
59    if symbol in data.Bars:
60        price:float = data[symbol].Value
61    
62        if symbol not in self.max_close: continue
63    
64        if price >= self.max_close[symbol]:
65            self.max_close[symbol] = price
66            self.long.append(symbol)
67
68stocks_invested:List[Symbol] = [x.Key for x in self.Portfolio if x.Value.Invested]
69count:int = len(self.long) + len(stocks_invested)
70if count == 0: return
71
72# Update stoploss orders
73for symbol in stocks_invested:
74    if not self.Securities[symbol].IsTradable:
75        self.Liquidate(symbol)
76        
77    if self.atr[symbol].Current.Value == 0: continue
78    
79    # Move SL
80    if symbol not in self.sl_price: continue
81    
82    self.SetHoldings(symbol, 1 / count)
83    
84    new_sl = self.Securities[symbol].Price - self.atr[symbol].Current.Value
85    if new_sl > self.sl_price[symbol]:
86        update_order_fields = UpdateOrderFields()
87        update_order_fields.StopPrice = new_sl      # Update SL price
88        
89        quantity:float = self.CalculateOrderQuantity(symbol, (1 / count))
90        update_order_fields.Quantity = quantity     # Update SL quantity
91
92        self.sl_price[symbol] = new_sl
93        self.sl_order[symbol].Update(update_order_fields)
94
95# Open new trades
96for symbol in self.long:
97    if not self.Portfolio[symbol].Invested and self.atr[symbol].Current.Value != 0:
98        price:float = data[symbol].Value
99        if self.Securities[symbol].IsTradable:
100            unit_size:float = self.CalculateOrderQuantity(symbol, (1 / count))
101            
102            self.MarketOrder(symbol, unit_size)
103            
104            sl_price:float = price - self.atr[symbol].Current.Value
105            self.sl_price[symbol] = sl_price
106            if unit_size != 0:
107                self.sl_order[symbol] = self.StopMarketOrder(symbol, -unit_size, sl_price, 'SL')
108
109self.long.clear()
110
111# Custom fee model.
112class CustomFeeModel(FeeModel):
113def GetOrderFee(self, parameters):
114fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
115return OrderFee(CashAmount(fee, "USD"))