Overall Statistics
Total Trades
9
Average Win
15.06%
Average Loss
-15.62%
Compounding Annual Return
-3.334%
Drawdown
45.900%
Expectancy
-0.018
Net Profit
-3.341%
Sharpe Ratio
0.212
Probabilistic Sharpe Ratio
16.890%
Loss Rate
50%
Win Rate
50%
Profit-Loss Ratio
0.96
Alpha
0.104
Beta
-0.041
Annual Standard Deviation
0.495
Annual Variance
0.245
Information Ratio
0.147
Tracking Error
0.808
Treynor Ratio
-2.546
Total Fees
$2520.67
Estimated Strategy Capacity
$38000000.00
Lowest Capacity Asset
BTCUSDT 18N
 
# CRYPTO EMAC LS


CRYPTO = "BTCUSDT"; EMA_F = 13; EMA_S = 48; 

class MovingAverageCrossAlgorithm(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2021, 4, 1)   
        self.SetEndDate(2022, 3, 31) 
        self.SetCash("USDT", 100000)
        self.SetBrokerageModel(BrokerageName.Binance, AccountType.Margin)
        self.crypto = self.AddCrypto(CRYPTO, Resolution.Daily).Symbol
        self.fast = self.EMA(self.crypto, EMA_F, Resolution.Daily)
        self.slow = self.EMA(self.crypto, EMA_S, Resolution.Daily)
        self.SetWarmUp(5*EMA_S, Resolution.Daily)
        

    def OnData(self, data):
        if self.IsWarmingUp: return
        if not self.slow.IsReady: return
    
        self.Plot(self.crypto, "Price", self.Securities[self.crypto].Price)
        self.Plot(self.crypto, "ema_fast", self.fast.Current.Value )
        self.Plot(self.crypto, "ema_slow", self.slow.Current.Value )
        
        if not self.Portfolio[self.crypto].IsLong:
            if self.fast.Current.Value >= self.slow.Current.Value:
                self.SetHoldings(self.crypto, 1)
                
        elif not self.Portfolio[self.crypto].IsShort:
            if self.fast.Current.Value < self.slow.Current.Value:
                self.SetHoldings(self.crypto, -1)