Overall Statistics |
Total Trades 28 Average Win 0% Average Loss 0% Compounding Annual Return 223.681% Drawdown 35.500% Expectancy 0 Net Profit 3321.792% Sharpe Ratio 3.111 Probabilistic Sharpe Ratio 97.280% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.538 Beta 0.543 Annual Standard Deviation 0.494 Annual Variance 0.244 Information Ratio -0.657 Tracking Error 0.46 Treynor Ratio 2.83 Total Fees $18.52 Estimated Strategy Capacity $300000.00 Lowest Capacity Asset BTCUSD E3 |
# region imports from AlgorithmImports import * # endregion class CalmRedArmadillo(QCAlgorithm): def Initialize(self): self.SetStartDate(2015, 1, 1) # Set Start Date self.SetEndDate(2018, 1, 1) self.start_averaging_date = DateTime(2015,1,26) self.end_averageing_date = DateTime(2017,5,8) self.SetCash(10000) # Set Strategy Cash self.monthly_buy = 330 self.SetBrokerageModel(BrokerageName.Bitfinex,AccountType.Cash) self.btc = self.AddCrypto('BTCUSD',Resolution.Daily) #DCA Calendar self.Schedule.On(self.DateRules.MonthStart(), self.TimeRules.At(0,0), self.DcaIn) def DcaIn(self): self.current_date = self.Time.date() if self.current_date > self.end_averageing_date: return if self.current_date > self.start_averaging_date: self.qty = self.monthly_buy / self.btc.Open self.MarketOrder(self.btc.Symbol, self.qty) self.Log(f'Purchased a total of {self.qty}') self.Log(f'Left Over Portfolio Cash = {self.Portfolio.Cash}')