| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 230.534% Drawdown 10.600% Expectancy 0 Net Profit 10.325% Sharpe Ratio 2.148 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -3.299 Beta 313.082 Annual Standard Deviation 0.41 Annual Variance 0.169 Information Ratio 2.116 Tracking Error 0.41 Treynor Ratio 0.003 Total Fees $298.35 |
import numpy as np
### <summary>
### Basic template algorithm simply initializes the date range and cash. This is a skeleton
### framework you can use for designing an algorithm.
### </summary>
class BasicTemplateAlgorithm(QCAlgorithm):
'''Basic template algorithm simply initializes the date range and cash'''
def Initialize(self):
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
self.SetStartDate(2019,2,3) #Set Start Date
self.SetEndDate(2019,3,4) #Set End Date
self.SetCash(100000) #Set Strategy Cash
self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash)
self.AddCrypto("BTCUSD", Resolution.Hour)
def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
Arguments:
data: Slice object keyed by symbol containing the stock data
'''
if not self.Portfolio.Invested:
self.SetHoldings("BTCUSD", 1)