Overall Statistics
Total Orders
523
Average Win
3.46%
Average Loss
-1.64%
Compounding Annual Return
15.952%
Drawdown
25.500%
Expectancy
0.516
Start Equity
100000.00
End Equity
198914.87
Net Profit
98.915%
Sharpe Ratio
0.622
Sortino Ratio
0.683
Probabilistic Sharpe Ratio
24.876%
Loss Rate
51%
Win Rate
49%
Profit-Loss Ratio
2.10
Alpha
0.03
Beta
0.738
Annual Standard Deviation
0.155
Annual Variance
0.024
Information Ratio
0.065
Tracking Error
0.094
Treynor Ratio
0.13
Total Fees
$314.53
Estimated Strategy Capacity
$150000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
Portfolio Turnover
9.92%
 
# region imports
from AlgorithmImports import *
# endregion

class BitcoinAsALeadingIndicatorAlgorithm(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2020, 1, 1)
        self.set_cash(100000)
        self.settings.automatic_indicator_warm_up = True
        self._equity = self.add_equity('SPY')
        self._btc = self.add_crypto('BTCUSD')
        self._btc.bb = self.bb(self._btc.symbol, 30*24, 2, resolution=Resolution.HOUR)
        self._btc.bb.updated += self._trade
        self.plot_indicator("BB", self._btc.bb.upper_band, self._btc.bb.lower_band, self._btc.bb)

    def _trade(self, indicator, indicator_data_point):
        below_band = self._btc.price < self._btc.bb.lower_band.current.value
        if below_band and self.portfolio.invested:
            self.liquidate()
        elif not below_band and not self.portfolio.invested:
            self.set_holdings(self._equity.symbol, 1)