| Overall Statistics |
|
Total Trades 1490 Average Win 0% Average Loss -0.01% Compounding Annual Return -50.042% Drawdown 5.700% Expectancy -1 Net Profit -5.724% Sharpe Ratio -32.219 Probabilistic Sharpe Ratio 0% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.39 Beta 0.022 Annual Standard Deviation 0.012 Annual Variance 0 Information Ratio -9.477 Tracking Error 0.084 Treynor Ratio -17.279 Total Fees $0.00 Estimated Strategy Capacity $84000.00 Lowest Capacity Asset BTCUSD E3 |
from AlgorithmImports import *
class Bugreport(QCAlgorithm):
_ondatacalls=0
def Initialize(self):
self.SetStartDate(2021, 4, 1) # Set Start Date
self.SetEndDate(2021, 5, 1) # Set End Date
self.SetCash(100000) # Set Strategy Cash
self._selection = []
self.UniverseSettings.Resolution = Resolution.Hour
self.AddUniverse(self._coarse_selection)
def _coarse_selection(self, coarse):
if len(self._selection) == 0:
self._selection = [Symbol.Create(
"BTCUSD", SecurityType.Crypto, Market.Bitfinex)]
return self._selection
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
"""
self._ondatacalls += 1
self.Debug("On Data " + str(self._ondatacalls))
if not self.Portfolio.Invested:
each_percent = 1/len(self._selection)
for symbol in self._selection:
self.SetHoldings(symbol, each_percent)
self.Debug("Purchased Stock")
if self.Portfolio.Invested:
self.Liquidate()
self.Debug("Sold Stock")