| Overall Statistics |
|
Total Trades 9 Average Win 0.01% Average Loss 0% Compounding Annual Return 0.224% Drawdown 0.000% Expectancy 0 Net Profit 0.012% Sharpe Ratio 1.511 Probabilistic Sharpe Ratio 55.357% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0.001 Beta 0.001 Annual Standard Deviation 0.001 Annual Variance 0 Information Ratio -0.871 Tracking Error 0.675 Treynor Ratio 2.723 Total Fees $1.36 Estimated Strategy Capacity $7100.00 Lowest Capacity Asset NEOUSD E3 |
class VirtualVioletBaboon(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 4, 25) # Set Start Date self.SetStartDate(2020,5, 15)
#self.SetEndDate(2020,6,1)
self.SetCash(100000) # Set Strategy Cash
self.SetBrokerageModel(BrokerageName.Bitfinex, AccountType.Cash)
self.crypto = self.AddCrypto('NEOUSD', Resolution.Minute, Market.Bitfinex)
self.nextSell = 0
self.sell = 0
def OnData(self, data):
'''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
'''
symbol = 'NEOUSD'
margin = 0.085
if self.sell:
self.sell = 0
limit = self.LimitOrder(str(symbol), -1 , self.nextSell)#, str(orderEvent.FillPrice))
if not self.Portfolio[symbol].Invested:
self.Debug("Not invested in " + str(symbol))
sell = round(data[symbol].Close*(1+margin),5)
self.nextSell = sell
order = self.MarketOrder(symbol, 1, False, str(sell))
self.sell = 1
def OnOrderEvent(self, orderEvent):
if orderEvent.Status != (OrderStatus.Filled or orderStatus.Liquidated):
self.Debug("Order Event" + str(orderEvent))
return
if self.LiveMode:
self.Debug("New Order Filled " + str(orderEvent))
def OnSecuritiesChanged(self, changes):
if self.LiveMode:
self.Debug("Portfolio change :" + str(changes))