| Overall Statistics |
|
Total Trades 80 Average Win 1038.86% Average Loss -5.12% Compounding Annual Return 230.082% Drawdown 70.800% Expectancy 36.082 Net Profit 1708.190% Sharpe Ratio 2.836 Probabilistic Sharpe Ratio 89.170% Loss Rate 82% Win Rate 18% Profit-Loss Ratio 202.95 Alpha 1.698 Beta 0.032 Annual Standard Deviation 0.616 Annual Variance 0.38 Information Ratio 0.209 Tracking Error 0.907 Treynor Ratio 55.273 Total Fees $478.08 Estimated Strategy Capacity $2900000.00 |
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from QuantConnect.Data.Market import TradeBar
class RollingWindowAlgorithm(QCAlgorithm):
def Initialize(self):
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
self.SetStartDate(2016,6,1) #Set Start Date
self.SetEndDate(2018,11,1) #Set End Date
self.SetCash(1000) #Set Strategy Cash
self.symbol= "BTCUSD"
self.btc = self.AddCrypto("BTCUSD", Resolution.Daily,Market.GDAX)
self.btc.SetLeverage(1)
self.btc_symbol = self.btc.Symbol
self.Settings.FreePortfolioValuePercentage = 0
self.period = 200
self.sma = self.SMA(self.symbol,self.period )
self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash)
#self.SetBrokerageModel(BrokerageName.AlphaStreams)
self.invested = 0
self.Schedule.On(self.DateRules.MonthStart("BTCUSD"), self.TimeRules.BeforeMarketClose("BTCUSD",0),self.deposit)
def deposit(self):
self.Portfolio.CashBook["USD"].AddAmount(100)
self.invested += 100
def OnData(self, data):
close = self.Securities[self.symbol].Close
if close > self.sma.Current.Value:
usd = int(self.Portfolio.CashBook['USD'].Amount)
quantity = usd * 0.95 / data[self.btc_symbol].Price # Add 5% cash buffer to avoid error
quantity = int(quantity * 1000) / 1000.0 # The minimum order quantity for BTCUSD is 0.001
if quantity > 0:
self.MarketOrder(self.btc_symbol, quantity)
else:
self.Liquidate(self.btc_symbol)
self.Plot("Quantity", "BTC", self.Portfolio.CashBook['BTC'].Amount)