| 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}')