| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 86.485% Drawdown 51.300% Expectancy 0 Net Profit 86.792% Sharpe Ratio 1.336 Probabilistic Sharpe Ratio 49.692% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.814 Beta -0.232 Annual Standard Deviation 0.572 Annual Variance 0.327 Information Ratio 0.944 Tracking Error 0.586 Treynor Ratio -3.3 Total Fees $0.27 |
namespace QuantConnect.Algorithm.CSharp
{
public class VentralTransdimensionalChamber : QCAlgorithm
{
/*
Trading bot that trades with the highest and lowest exchange rate of the last 24 hours.
Buying determined bacause the factor and the current price.
*/
// VARIABELEN DECLAREREN
private string _ticker = "ETHBTC"; //virtueel paar - tracks the current USD value of 1 ether.
private int _startingCash = 100000;
private decimal _weight = .08m; ///Percentage van portfolio dat je wilt investeren // % of portfolio for every trade.
private decimal _targetPercent = .01m; //1% winst dan verkopen // Sell when 1% profit
private decimal _stopPercent = .10m; //verkopen bij de 10% verlies / Sell when loss is 10%
int _maxPosition = 900; // Max USD invested
int _minPosition = 750; // min USD needed to invest.
public decimal _usd; //Amount of USD in our Cashbook.
Maximum _maxExchange;
Minimum _minExchange;
//PROGRAMMA VARIABELEN
public decimal _price;
public decimal _holding; //Het aantal Ether we in onze portfolio hebben zitten.
public string _baseSymbol; //vertegenwoordigt de basesymbool dat we houden ETH
public decimal _targetPrice;
public decimal _stopPrice;
//INITIALIZE BLOCK
public override void Initialize()
{
SetStartDate(2019, 1, 1);
SetEndDate(2020, 1, 1);
//SetCash(_startingCash);
SetCash("BTC", 10000);
var _crypto = AddCrypto(_ticker, Resolution.Minute, Market.Bitfinex);
_baseSymbol = _crypto.BaseCurrencySymbol;
int _minutesOfTrading = 1140;
_maxExchange = MAX(_ticker, _minutesOfTrading, Resolution.Minute);
_minExchange = MIN(_ticker, _minutesOfTrading, Resolution.Minute);
SetWarmUp(_minutesOfTrading, Resolution.Minute);
SetBrokerageModel(BrokerageName.Bitfinex, AccountType.Cash);
}
public override void OnData(Slice data)
{
if (!Portfolio.Invested)
{
MarketOrder("ETHBTC", 1);
}
}
}
}