| Overall Statistics |
|
Total Trades 2 Average Win 0% Average Loss 0% Compounding Annual Return -3.866% Drawdown 0.200% Expectancy 0 Net Profit -0.052% Sharpe Ratio -1.633 Probabilistic Sharpe Ratio 35.993% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.039 Beta -0.016 Annual Standard Deviation 0.016 Annual Variance 0 Information Ratio 1.985 Tracking Error 0.404 Treynor Ratio 1.65 Total Fees $0.03 Estimated Strategy Capacity $26000000.00 |
#https://www.quantconnect.com/forum/discussion/6171/dynamic-crypto-universe-portfolio/p1
#from Alphas.HistoricalReturnsAlphaModel import HistoricalReturnsAlphaModel
#from HistoricalReturnsAlphamodel_mod import HistoricalReturnsAlphaModel_mod
from Execution.ImmediateExecutionModel import ImmediateExecutionModel
from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
class CryptoMomentum(QCAlgorithm):
def Initialize(self):
self.stateData = {}
self.SetStartDate(2019, 1, 19) # Set Start Date
self.SetEndDate(2019, 1, 22)
self.SetCash(100000) # Set Strategy Cash
self.SetCash("BTC", 1)
self.SetBrokerageModel(BrokerageName.Bitfinex, AccountType.Margin)
self.symbols = [self.AddCrypto(ticker, Resolution.Daily).Symbol for ticker in ['DASHBTC', 'DASHUSD']]
self.ordered = False
def OnData(self, data):
if self.ordered:
return
for symbol in self.symbols:
if not (data.ContainsKey(symbol) and data[symbol] is not None):
return
self.ordered = True
for symbol in self.symbols:
self.MarketOrder(symbol, 0.1)