| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 3.633% Drawdown 0.100% Expectancy 0 Net Profit 0.098% Sharpe Ratio 8.645 Probabilistic Sharpe Ratio 93.229% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.032 Beta -0.005 Annual Standard Deviation 0.004 Annual Variance 0 Information Ratio 1.765 Tracking Error 0.583 Treynor Ratio -6.866 Total Fees $16.03 |
import decimal as d
import numpy as np
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(2018,12, 1) #Set Start Date
self.SetEndDate(2018,12,10) #Set End Date
self.SetCash(100000) #Set Strategy Cash
#self.SetCash('BTC', 100)
self.SetCash(1000000)
self.SetBrokerageModel(BrokerageName.Bitfinex, AccountType.Margin)
btc = self.AddCrypto("BTCUSD")
btc.BuyingPowerModel = SecurityMarginModel(3.3)
def OnData(self, data):
if not self.Portfolio.Invested:
self.MarketOrder('BTCUSD', -2)
self.Log(f"Cashbook: {self.Portfolio.CashBook}")