Overall Statistics |
Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio -2.815 Tracking Error 0.253 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset |
#region imports using System; using System.Collections; using System.Collections.Generic; using System.Linq; using System.Globalization; using System.Drawing; using QuantConnect; using QuantConnect.Algorithm.Framework; using QuantConnect.Algorithm.Framework.Selection; using QuantConnect.Algorithm.Framework.Alphas; using QuantConnect.Algorithm.Framework.Portfolio; using QuantConnect.Algorithm.Framework.Execution; using QuantConnect.Algorithm.Framework.Risk; using QuantConnect.Parameters; using QuantConnect.Benchmarks; using QuantConnect.Brokerages; using QuantConnect.Util; using QuantConnect.Interfaces; using QuantConnect.Algorithm; using QuantConnect.Indicators; using QuantConnect.Data; using QuantConnect.Data.Consolidators; using QuantConnect.Data.Custom; using QuantConnect.DataSource; using QuantConnect.Data.Fundamental; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Notifications; using QuantConnect.Orders; using QuantConnect.Orders.Fees; using QuantConnect.Orders.Fills; using QuantConnect.Orders.Slippage; using QuantConnect.Scheduling; using QuantConnect.Securities; using QuantConnect.Securities.Equity; using QuantConnect.Securities.Future; using QuantConnect.Securities.Option; using QuantConnect.Securities.Forex; using QuantConnect.Securities.Crypto; using QuantConnect.Securities.Interfaces; using QuantConnect.Storage; using QuantConnect.Data.Custom.AlphaStreams; using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm; using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm; #endregion namespace QuantConnect.Algorithm.CSharp { public class CrawlingApricotDogfish : QCAlgorithm { private Symbol _btceur, _btcusdt; private SimpleMovingAverage _sma; public override void Initialize() { SetStartDate(2022, 10, 1); //Set Start Date SetCash(100000); //Set Strategy Cash _btceur = AddCrypto("BTCEUR", Resolution.Daily).Symbol; _btcusdt = AddCrypto("BTCUSDT", Resolution.Daily).Symbol; var history = History<TradeBar>(new[] {_btceur, _btcusdt}, 100, Resolution.Daily); _sma = new SimpleMovingAverage(20); foreach (var tradeBars in history) { UpdateRatio(tradeBars as TradeBars); } } private void UpdateRatio(TradeBars tradeBars) { if (tradeBars.ContainsKey(_btceur) && tradeBars.ContainsKey(_btcusdt)) { _sma.Update(tradeBars.Time, tradeBars[_btceur].Close / tradeBars[_btcusdt].Close); } } public override void OnData(Slice data) { UpdateRatio(data.Bars); if (_sma.IsReady) { Debug($"{Time}: {_sma.Current.Value}"); } } } }