| Overall Statistics |
|
Total Trades 29 Average Win 16.38% Average Loss -4.99% Compounding Annual Return 30.909% Drawdown 37.200% Expectancy 0.835 Net Profit 60.123% Sharpe Ratio 0.787 Probabilistic Sharpe Ratio 30.925% Loss Rate 57% Win Rate 43% Profit-Loss Ratio 3.28 Alpha 0.312 Beta 0.525 Annual Standard Deviation 0.363 Annual Variance 0.132 Information Ratio 0.971 Tracking Error 0.346 Treynor Ratio 0.544 Total Fees $152209.44 Estimated Strategy Capacity $400000.00 Lowest Capacity Asset BTCUSD XJ Portfolio Turnover 4.55% |
from AlgorithmImports import *
class DualThrustAlgorithm(QCAlgorithm):
def Initialize(self):
# set date
self.SetStartDate(2021, 10 , 1)
# set trade cash
self.SetCash(1_000_000)
# set brokerage
self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash)
# add crypto symbol
self.AddCrypto("BTCUSD", Resolution.Minute)
# add trading alpha models
self.AddAlpha(RsiAlphaModel())
self.AddAlpha(EmaCrossAlphaModel())
# set portfolio construction
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
# set risk management
self.AddRiskManagement(MaximumDrawdownPercentPerSecurity(0.3))
self.AddRiskManagement(MaximumUnrealizedProfitPercentPerSecurity(0.5))
# set execution model
self.SetExecution(ImmediateExecutionModel())