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
-6.572
Tracking Error
0.429
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
class UpgradedRedOrangeChimpanzee(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 6, 1)  # Set Start Date
        self.SetEndDate(2021, 1, 1) #Set End Date
        self.SetCash(100000)  # Set Strategy Cash
        self.SetBrokerageModel(BrokerageName.Bitfinex, AccountType.Cash) #Broker Modell
        self.Settings.FreePortfolioValuePercentage = 0.05
        self.positionSizeUSD = 5000
        
        #universe
        universe = ['BTCUSD','LTCUSD', 'ETHUSD']
        
        self.pairs = [Pair(self, ticker) for ticker in universe]
        self.SetBenchmark("BTCUSD")
        self.SetWarmup(30)
        
    def OnData(self, data):
        pass
        
        
class Pair:
    def __init__(self, algorithm, ticker):
        self.symbol = algorithm.AddCrypto(ticker, Resolution.Daily, Market.Bitfinex).Symbol
        self.rsi = algorithm.RSI(self.symbol, 14, MovingAverageType.Simple, Resolution.Daily)
        self.rsiema = IndicatorExtensions.EMA(self.rsi, 13) 
        self.band1 = IndicatorExtensions.Plus(self.rsiema, 8)
        self.band2 = IndicatorExtensions.Plus(self.rsiema, -7)