| Overall Statistics |
|
Total Trades 126 Average Win 6.15% Average Loss -2.59% Compounding Annual Return -9.213% Drawdown 30.800% Expectancy 0.018 Net Profit -6.148% Sharpe Ratio 0.066 Probabilistic Sharpe Ratio 18.178% Loss Rate 70% Win Rate 30% Profit-Loss Ratio 2.37 Alpha -0.131 Beta 1.044 Annual Standard Deviation 0.438 Annual Variance 0.192 Information Ratio -0.292 Tracking Error 0.425 Treynor Ratio 0.028 Total Fees $0.00 Estimated Strategy Capacity $410000.00 Lowest Capacity Asset BTCUSD XJ |
class DeterminedRedCat(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 5, 1)
self.SetCash(100000)
self.btc = self.AddCrypto("BTCUSD", Resolution.Minute, Market.GDAX).Symbol
self.fourHourWindow = RollingWindow[TradeBar](2)
fourHourConsolidator = TradeBarConsolidator(timedelta(hours=4))
fourHourConsolidator.DataConsolidated += self.FourHourBarHandler
self.SubscriptionManager.AddConsolidator(self.btc, fourHourConsolidator)
self.macd = MovingAverageConvergenceDivergence(12, 26, 9, MovingAverageType.Exponential)
self.RegisterIndicator(self.btc, self.macd, fourHourConsolidator)
def OnData(self, data):
if self.IsWarmingUp or self.btc not in data or not self.fourHourWindow.IsReady:
return
price = self.Securities[self.btc].Price
entryQuantity = self.CalculateOrderQuantity(self.btc, 0.95)
if self.macd.Histogram.Current.Value > 0 and not self.Portfolio.Invested:
self.MarketOrder(self.btc, entryQuantity)
self.Debug("quantity: " + str(entryQuantity) + " price: " + str(price) + " MACD: " + str(self.macd.Current.Value) + " Histogram: " + str(self.macd.Histogram.Current.Value))
if self.macd.Histogram.Current.Value < 0 and self.Portfolio.Invested:
self.Liquidate()
self.Debug("liquidate price: " + str(price) + " MACD: " + str(self.macd.Current.Value) + " Histogram: " + str(self.macd.Histogram.Current.Value))
def FourHourBarHandler(self, sender, bar):
self.fourHourWindow.Add(bar)