Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
2.255%
Drawdown
1.700%
Expectancy
0
Net Profit
4.600%
Sharpe Ratio
1.349
Probabilistic Sharpe Ratio
71.713%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.016
Beta
0
Annual Standard Deviation
0.012
Annual Variance
0
Information Ratio
-0.983
Tracking Error
0.094
Treynor Ratio
33.263
Total Fees
$0.74
 
class ResistanceVerticalAtmosphericScrubbers(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2015, 10, 7)  # Set Start Date
        self.SetEndDate(2017, 10, 11)    # Set End Date
        self.SetCash(100000)             # Set Strategy Cash
        
        self.btc_symbol = self.AddCrypto("BTCUSD", Resolution.Hour, Market.GDAX).Symbol
        self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash)
    
        self.shown = False
    
    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.MarketOrder(self.btc_symbol, 1)
        elif not self.shown:
            self.shown = True
            self.Log(self.Portfolio.CashBook['BTC'].ValueInAccountCurrency)