| Overall Statistics |
|
Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio 0 Tracking Error 0 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset |
from AlgorithmImports import *
class CoinAPIDataAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 6, 1)
self.SetEndDate(2020, 7, 1)
self.SetCash(100000)
self.SetUniverseSelection(CryptoUniverseSelectionModel(Market.Kraken, self.UniverseSettings))
def OnSecuritiesChanged(self, changes):
for security in changes.AddedSecurities:
self.Quit(f"Added {security.Symbol}")
class CryptoUniverseSelectionModel(UniverseSelectionModel):
def __init__(self, market, universe_settings):
self.market = market
self.universe_settings = universe_settings
self.universe = None
def CreateUniverses(self, algorithm: QCAlgorithm) -> List[Universe]:
if self.universe is None:
self.universe = CryptoCoarseFundamentalUniverse(self.market, self.universe_settings, self.universe_selection_filter)
return [self.universe]
def universe_selection_filter(self, crypto_coarse):
return [d.Symbol for d in sorted(crypto_coarse, key=lambda x: x.VolumeInUsd, reverse=True)[:5]]