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)