Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
5.886%
Drawdown
3.500%
Expectancy
0
Net Profit
5.965%
Sharpe Ratio
1.016
Probabilistic Sharpe Ratio
49.977%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.038
Beta
-0.002
Annual Standard Deviation
0.033
Annual Variance
0.001
Information Ratio
-4.086
Tracking Error
0.565
Treynor Ratio
-19.09
Total Fees
$0.00
Estimated Strategy Capacity
$0
 
import numpy as np
import subprocess

class BasicTemplateAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020,1, 1)  
        self.SetEndDate(2021,1,3)   
        self.SetCash(10)
        self.Portfolio.SetCash("EUR", 10, Decimal(1.1))
        self.crypto = "BTCEUR"
        self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash)
        self.AddCrypto(self.crypto, Resolution.Daily)
        
        
        self.mfi = self.MFI(self.crypto, 3, Resolution.Daily)
        self.SetWarmUp(3)
        
        stockPlot = Chart('Close Price Chart')
        stockPlot2 = Chart('MFI Chart')
        stockPlot.AddSeries(Series('Close Price', SeriesType.Line, 0))
        stockPlot2.AddSeries(Series('MFI', SeriesType.Line, 0))
        


    def OnData(self, data):
        
        if not self.mfi.IsReady: 
            return
    
        #BUY    
        if self.mfi.Current.Value < 20:
            if not self.Portfolio.Invested:
                self.Debug("BUYING")
                self.SetHoldings(self.crypto, 0.6, True)
                self.Debug("BOUGHT")
    
        #SELL
        if self.mfi.Current.Value > 80: 
            #self.SetHoldings(self.crypto, 1.0)
            self.Debug("SELLING")
            self.Liquidate()
            self.Debug("SOLD ")
            
            
        self.Plot('Close Price Chart', 'Close Price ' + self.crypto, self.Securities[self.crypto].Close)    
        self.Plot('MFI Chart','MFI ' + self.crypto, self.mfi.Current.Value)