| Overall Statistics |
|
Total Trades 91 Average Win 256.49% Average Loss -4.77% Compounding Annual Return 361.819% Drawdown 57.700% Expectancy 18.471 Net Profit 188145.245% Sharpe Ratio 3.788 Probabilistic Sharpe Ratio 99.267% Loss Rate 64% Win Rate 36% Profit-Loss Ratio 53.76 Alpha 2.675 Beta -0.036 Annual Standard Deviation 0.694 Annual Variance 0.482 Information Ratio 1.377 Tracking Error 0.972 Treynor Ratio -74.023 Total Fees $3144490.42 Estimated Strategy Capacity $15000000.00 Lowest Capacity Asset ETHUSD XJ |
#Idea Streams Tutorial
#https://www.youtube.com/watch?v=BAO3H2WwXRA
class MeasuredVioletDinosaur(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2016, 10, 1) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash)
self.eth = self.AddCrypto("ETHUSD", Resolution.Daily).Symbol
self.btc = self.AddCrypto("LTCUSD", Resolution.Daily).Symbol
self.ETHSMAONE = self.SMA("ETHUSD", 41, Resolution.Daily)
self.ETHSMATWO = self.SMA("ETHUSD", 1, Resolution.Daily)
#self.max = self.MIN(self.btc, 365)
#self.high = -1
self.invested = 0
#self.Schedule.On(self.DateRules.Every(DayOfWeek.Monday), self.TimeRules.At(12,0), self.deposit)
self.Schedule.On(self.DateRules.EveryDay(self.eth), self.TimeRules.AfterMarketOpen(self.eth), self.deposit)
def deposit(self):
self.Portfolio.CashBook["USD"].AddAmount(0)
self.invested +=0
self.Plot("StrategyEquity", "Amount Invested", self.invested)
if self.ETHSMATWO.Current.Value < self.ETHSMAONE.Current.Value:
self.Liquidate()
#self.high = self.max.Current.Value
#self.stop_investing = self.Time + timedelta(182) #stop dollarcost averaging after 6-months
#If self.Time < self.stop_investing:
if self.ETHSMATWO.Current.Value > self.ETHSMAONE.Current.Value:
#self.Portfolio.CashBook["USD"].AddAmount(20)
#self.invested +=20
self.SetHoldings(self.eth,1)