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 Sortino 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 -2.823 Tracking Error 0.735 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset Portfolio Turnover 0% |
# region imports from AlgorithmImports import * from QuantConnect.Data.UniverseSelection import SecurityChanges from utils.constants import TS_REPORTABLE_CRYPTO_LIST # endregion class FocusedVioletBee(QCAlgorithm): def Initialize(self): self.SetStartDate(2019, 1, 1) self.SetEndDate(2020, 2, 15) self.SetCash(100000) self.SetBrokerageModel(BrokerageName.Coinbase, AccountType.Cash) self.btc_symbol = self.AddCrypto('BTCUSD', Resolution.Daily).Symbol self.bb_daily = self.BB(self.btc_symbol, 20, 2, Resolution.Daily) self.bb_default = self.BB(self.btc_symbol, 20, 2) self.WarmUpIndicator(self.btc_symbol, self.bb_daily) self.WarmUpIndicator(self.btc_symbol, self.bb_default) def OnData(self, data: Slice): bar = data.Bars[self.btc_symbol] self.Plot('BTC', 'Price', bar.Close) self.Plot("BTC", "middleband (default)", self.bb_default.MiddleBand.Current.Value) self.Plot("BTC", "upperband (default)", self.bb_default.UpperBand.Current.Value) self.Plot("BTC", "lowerband (default)", self.bb_default.LowerBand.Current.Value) self.Plot("BTC", "middleband (daily)", self.bb_daily.MiddleBand.Current.Value) self.Plot("BTC", "upperband (daily)", self.bb_daily.UpperBand.Current.Value) self.Plot("BTC", "lowerband (daily)", self.bb_daily.LowerBand.Current.Value)