| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 195.727% Drawdown 49.000% Expectancy 0 Net Profit 1507.086% Sharpe Ratio 1.264 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 1.035 Beta 0.037 Annual Standard Deviation 0.821 Annual Variance 0.673 Information Ratio 1.179 Tracking Error 0.827 Treynor Ratio 27.938 Total Fees $29.84 |
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(2015,5,1) #Set Start Date
self.SetEndDate(2017,12,1) #Set End Date
self.SetCash(10000) #Set Strategy Cash
self.SetBrokerageModel(BrokerageName.GDAX)
self.AddCrypto("LTCUSD", Resolution.Daily)
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("LTCUSD", 1)