| Overall Statistics |
|
Total Trades 554 Average Win 3.13% Average Loss -0.51% Compounding Annual Return 58.563% Drawdown 30.500% Expectancy 0.722 Net Profit 154.941% Sharpe Ratio 1.19 Probabilistic Sharpe Ratio 47.542% Loss Rate 76% Win Rate 24% Profit-Loss Ratio 6.12 Alpha 0.416 Beta 0.369 Annual Standard Deviation 0.426 Annual Variance 0.181 Information Ratio 0.606 Tracking Error 0.432 Treynor Ratio 1.374 Total Fees $0.00 Estimated Strategy Capacity $500000.00 Lowest Capacity Asset EOSUSD XJ |
# Cryptos RSI and SMA with Stop Loss
# ------------------------------------------------------------------------------------------
CRYPTOS = ['BTCUSD', 'ETHUSD', 'EOSUSD', 'LTCUSD']; MA = 50; RSI = 14; SL = 0.10;
# ------------------------------------------------------------------------------------------
class CryptosRSIandSMA(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 4, 1)
self.SetEndDate(2022, 4, 11)
self.SetCash(100000)
self.cryptos = [self.AddCrypto(ticker, Resolution.Minute).Symbol for ticker in CRYPTOS]
self.sma = {}; self.rsi = {}; self.enter_price={}
for sec in self.cryptos:
self.sma[sec] = self.SMA(sec, MA, Resolution.Daily)
self.rsi[sec] = self.RSI(sec, RSI, MovingAverageType.Simple, Resolution.Daily)
self.enter_price[sec] = 0
self.SetWarmUp(max(MA, RSI), Resolution.Daily)
def OnData(self, data):
if self.IsWarmingUp: return
for sec in self.cryptos:
if not self.sma[sec].IsReady or not self.rsi[sec].IsReady: continue
rsi = self.rsi[sec].Current.Value
price = self.Securities[sec].Price
sma = self.sma[sec].Current.Value
quantity = self.CalculateOrderQuantity(sec, 0.19)
pnl = self.Securities[sec].Holdings.UnrealizedProfitPercent
if not self.Portfolio[sec].Invested:
if rsi > 50 and price >= sma*1.005:
self.MarketOrder(sec, quantity)
self.enter_price[sec] = price
elif self.Portfolio[sec].Invested:
if self.enter_price[sec] > 0:
if price < sma*0.995:
self.Liquidate(sec, "price below sma")
self.enter_price[sec] = 0
elif rsi < 50:
self.Liquidate(sec, "rsi below 50")
self.enter_price[sec] = 0
elif pnl < - SL:
self.Liquidate(sec, "Stop Loss")
self.enter_price[sec] = 0
def OnEndOfDay(self, symbol):
if self.IsWarmingUp: return
for sec in self.cryptos:
if not self.sma[sec].IsReady or not self.rsi[sec].IsReady: continue
self.Plot("RSI", sec, self.rsi[sec].Current.Value)
self.Plot("RSI", 'threshold', 50)