Overall Statistics |
Total Trades 36 Average Win 0% Average Loss 0% Compounding Annual Return 42.508% Drawdown 17.200% Expectancy 0 Net Profit 183.848% Sharpe Ratio 1.888 Probabilistic Sharpe Ratio 94.426% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.235 Beta 0.295 Annual Standard Deviation 0.155 Annual Variance 0.024 Information Ratio 0.512 Tracking Error 0.194 Treynor Ratio 0.989 Total Fees $36.00 Estimated Strategy Capacity $96000.00 Lowest Capacity Asset BTC TLQHZ0DZBGPX |
from math import trunc class DynamicParticleComputer(QCAlgorithm): def Initialize(self): self.SetStartDate(2019, 1, 1) # Set Start Date self.SetEndDate(2021, 12, 12) self.SetCash(3000) # Set Strategy Cash self.AddEquity("BTC", Resolution.Daily) self.time_to_add = self.Time.month def OnData(self, data): if not self.Portfolio.Invested: shares = 100 / data['BTC'].Close self.MarketOrder("BTC", trunc(shares)) if data.Bars.ContainsKey("BTC"): self.Log(f'Portfolio Cash: {self.Portfolio.Cash}') if self.time_to_add != self.Time.month: self.Log('Adding $100 to portfolio') # Add cash self.Portfolio.SetCash(self.Portfolio.Cash + 100) # Place order shares = 100 / data['BTC'].Close self.MarketOrder("BTC", trunc(shares)) self.time_to_add = self.Time.month