| Overall Statistics |
|
Total Trades 47 Average Win 45.22% Average Loss -6.00% Compounding Annual Return 50.734% Drawdown 50.800% Expectancy 1.560 Net Profit 323.931% Sharpe Ratio 1.005 Probabilistic Sharpe Ratio 33.604% Loss Rate 70% Win Rate 30% Profit-Loss Ratio 7.53 Alpha 0.522 Beta -0.245 Annual Standard Deviation 0.496 Annual Variance 0.246 Information Ratio 0.732 Tracking Error 0.552 Treynor Ratio -2.038 Total Fees $0.00 Estimated Strategy Capacity $2900000.00 Lowest Capacity Asset BTCUSD XJ Portfolio Turnover 4.47% |
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from QuantConnect.Orders import *
class MovingAverageCrossover(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 1, 1) # set start date
self.SetCash(10000) # set strategy cash
self.btc = self.AddCrypto("BTCUSD", Resolution.Daily) # Bitcoin data
self.fast = self.EMA("BTCUSD", 14, Resolution.Daily)
self.slow = self.EMA("BTCUSD", 28, Resolution.Daily)
self.long_term = self.EMA("BTCUSD", 50, Resolution.Daily)
self.volume = self.SMA("BTCUSD", 14, Resolution.Daily, Field.Volume)
self.previous = None
self.stopMarketTicket = None
def OnData(self, data):
if not self.fast.IsReady or not self.slow.IsReady or not self.long_term.IsReady or not self.volume.IsReady:
return
if self.previous is not None and self.previous.date() == self.Time.date():
return
holdings = self.Portfolio["BTCUSD"].Quantity
if self.fast.Current.Value > self.slow.Current.Value and self.Securities["BTCUSD"].Close > self.long_term.Current.Value:
if holdings <= 0 and self.btc.Volume > self.volume.Current.Value:
self.SetHoldings("BTCUSD", 1.0)
self.stopMarketTicket = self.StopMarketOrder("BTCUSD",
-self.Portfolio["BTCUSD"].Quantity,
0.9 * self.Securities["BTCUSD"].Close)
elif self.fast.Current.Value < self.slow.Current.Value and self.Securities["BTCUSD"].Close < self.long_term.Current.Value:
if holdings >= 0 and self.btc.Volume > self.volume.Current.Value:
self.SetHoldings("BTCUSD", -1.0)
self.stopMarketTicket = self.StopMarketOrder("BTCUSD",
self.Portfolio["BTCUSD"].Quantity,
1.1 * self.Securities["BTCUSD"].Close)
self.previous = self.Time
def OnOrderEvent(self, orderEvent):
order = self.Transactions.GetOrderById(orderEvent.OrderId)
if order.Type == OrderType.StopMarket and orderEvent.Status == OrderStatus.Filled:
self.stopMarketTicket = None