Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
8.691%
Drawdown
25.900%
Expectancy
0
Net Profit
13.292%
Sharpe Ratio
0.376
Probabilistic Sharpe Ratio
17.396%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.052
Beta
0.455
Annual Standard Deviation
0.212
Annual Variance
0.045
Information Ratio
0.086
Tracking Error
0.215
Treynor Ratio
0.175
Total Fees
$0.00
Estimated Strategy Capacity
$1400000.00
Lowest Capacity Asset
BTCUSD XJ
 
class PensiveAsparagusHornet(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 11, 12)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.symbol = self.AddCrypto("BTCUSD", Resolution.Minute, Market.GDAX).Symbol
        self.window = RollingWindow[TradeBar](2)

    def OnData(self, data: Slice):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
            Arguments:
                data: Slice object keyed by symbol containing the stock data
        '''
        if not self.symbol in data.Bars:
            return
        self.window.Add(data.Bars[self.symbol])
        
        if not self.Portfolio.Invested and self.window.IsReady:
            if self.window[1].Low==self.window[0].Low:
                self.MarketOrder(self.symbol,1)