| Overall Statistics |
|
Total Trades 31 Average Win 0.56% Average Loss 0% Compounding Annual Return 40712.128% Drawdown 5.600% Expectancy 0 Net Profit 8.584% Sharpe Ratio 185.166 Probabilistic Sharpe Ratio 99.949% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha -18.028 Beta 0.034 Annual Standard Deviation 0.217 Annual Variance 0.047 Information Ratio -2942.866 Tracking Error 0.561 Treynor Ratio 1167.22 Total Fees $7.70 Estimated Strategy Capacity $310000.00 |
class BasicTemplateAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 2, 15)
self.SetEndDate(2021, 2, 19)
self.SetCash('USD', 100)
self.SetCash('ETH', 0)
self.Settings.FreePortfolioValuePercentage = 0.05
self.symbol = self.AddCrypto("ETHUSD", Resolution.Minute, Market.GDAX).Symbol
self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash)
self.sto = self.STO("ETHUSD", 14)
self.sell_price = None
def OnData(self, data):
if not self.sto.IsReady:
return
price = self.Securities[self.symbol].Close
if self.sto.Current.Value < 10 and self.Portfolio.CashBook["ETH"].Amount == 0:
self.Debug("STO is low")
# Calculate order quantity
usd = self.Portfolio.CashBook["USD"].Amount
quantity = usd * (1 - self.Settings.FreePortfolioValuePercentage) / price
self.MarketOrder(self.symbol, quantity)
self.Debug(f"Market order was placed for {quantity} ETH")
self.sell_price = (1 + 0.01) * price
if self.sell_price is not None and price >= self.sell_price:
self.Debug("Price is at a 1% gain")
self.MarketOrder(self.symbol, -self.Portfolio.CashBook["ETH"].Amount)
self.sell_price = None