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 -3.341 Tracking Error 0.108 Treynor Ratio 0 Total Fees $0.00 |
from clr import AddReference AddReference("System") AddReference("QuantConnect.Algorithm") AddReference("QuantConnect.Common") from System import * from QuantConnect import * from QuantConnect.Algorithm import * from QuantConnect.Data.Consolidators import * from datetime import timedelta class TachyonQuantumAutosequencers(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 7, 1) # Set Start Date self.SetCash(100000) # Set Strategy Cash # list of symbols we want to trade self.symbolList = ["BTCUSD","ETHUSD","LTCUSD","BCHUSD"] # dictionary to hold rolling window for each symbol self.daily = {} self.window = {} self.cryptoSymbols = [] for name in self.symbolList: cryptoSymbol = self.AddCrypto(name, Resolution.Daily, Market.GDAX).Symbol self.cryptoSymbols.append(cryptoSymbol) dailyConsolidator = TradeBarConsolidator(timedelta(days=1)) dailyConsolidator.DataConsolidated += self.DailyConsolidator self.SubscriptionManager.AddConsolidator(cryptoSymbol, dailyConsolidator) self.daily[cryptoSymbol] = RollingWindow[TradeBar](2) self.window[cryptoSymbol] = RollingWindow[TradeBar](2) def DailyConsolidator(self, sender, bar): self.daily[bar.Symbol].Add(bar) # Accessing requested data def OnData(self, data): for symbol in self.cryptoSymbols: if not data.ContainsKey(symbol): return self.window[symbol].Add(data.Bars[symbol])