| Overall Statistics |
|
Total Orders 3657 Average Win 0.17% Average Loss -0.23% Compounding Annual Return 43.524% Drawdown 35.800% Expectancy 0.076 Start Equity 100000.00 End Equity 143666.19 Net Profit 43.666% Sharpe Ratio 1.167 Sortino Ratio 1.829 Probabilistic Sharpe Ratio 49.714% Loss Rate 37% Win Rate 63% Profit-Loss Ratio 0.72 Alpha -0.766 Beta 0.986 Annual Standard Deviation 0.482 Annual Variance 0.232 Information Ratio -3.295 Tracking Error 0.238 Treynor Ratio 0.57 Total Fees ₮11753.34 Estimated Strategy Capacity ₮23000000000.00 Lowest Capacity Asset ENSUSDT 2UZ Portfolio Turnover 26.83% |
# region imports
import datetime
from AlgorithmImports import *
# endregion
class Crypto(QCAlgorithm):
def Initialize(self):
# Locally Lean installs free sample data, to download more data please visit https://www.quantconnect.com/docs/v2/lean-cli/datasets/downloading-data
self.set_start_date(2022, 11, 17) # Set Start Date
self.set_end_date(2023, 11, 17) # Set End Date
self.set_time_zone(TimeZones.Utc)
self.set_account_currency("USDT", 100000)
self.universe_settings.asynchronous = True
self.universe_settings.resolution = Resolution.DAILY
self._universe = self.add_universe(CryptoCoarseFundamentalUniverse(Market.BYBIT, self.universe_settings, self.universe_selection_filter))
self.set_brokerage_model(BrokerageName.BYBIT, AccountType.MARGIN)
self.set_security_initializer(BrokerageModelSecurityInitializer(self.brokerage_model, FuncSecuritySeeder(self.get_last_known_price)))
def universe_selection_filter(self, data):
filtered = [datum for datum in data
if datum.Price >= 10 and datum.VolumeInUsd]
sorted_by_volume_in_usd = sorted(filtered, key=lambda datum: datum.VolumeInUsd, reverse=True)[:10]
return [datum.Symbol for datum in sorted_by_volume_in_usd]
def OnData(self, data):
for symbol in self.Securities.Keys:
self.SetHoldings(symbol, 0.1)
def OnSecuritiesChanged(self, changes):
self.changes = changes
self.log(f"on_securities_changed({self.time}):{changes}")
for security in changes.RemovedSecurities:
self.Liquidate(security.Symbol)