| Overall Statistics |
|
Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 222.427% Drawdown 0.900% Expectancy 0 Net Profit 1.291% Sharpe Ratio 15.755 Probabilistic Sharpe Ratio 86.793% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -1.997 Beta 0.273 Annual Standard Deviation 0.079 Annual Variance 0.006 Information Ratio -50.865 Tracking Error 0.209 Treynor Ratio 4.581 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset |
from System.Drawing import Color
class TestAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021,9,13)
self.SetEndDate(2021,9,16)
self.SetCash("BTC", 1)
self.btc = self.AddCrypto("BTCUSD", Resolution.Minute).Symbol
self.Consolidate("BTCUSD", timedelta(minutes=15), self.FifteenMinuteBarHandler)
self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash)
self.SetWarmUp(4320, Resolution.Minute)
self.smafast = self.SMA("BTCUSD", 1*1440, Resolution.Minute)
self.smaslow = self.SMA("BTCUSD", 3*1440, Resolution.Minute)
self.aroon = AroonOscillator(25, 25)
fifteenMinuteConsolidator = TradeBarConsolidator(timedelta(minutes=15))
self.SubscriptionManager.AddConsolidator("BTCUSD", fifteenMinuteConsolidator)
self.RegisterIndicator("BTCUSD", self.aroon, fifteenMinuteConsolidator)
def FifteenMinuteBarHandler(self, consolidated):
if self.IsWarmingUp: return
if not self.aroon.IsReady: return
if not self.smafast.IsReady or not self.smaslow.IsReady: return
price = self.Securities["BTCUSD"].Price
self.Plot("Price Plot", "Price", price)
self.Plot("Price Plot", "smafast", self.smafast.Current.Value)
self.Plot("Price Plot", "smaslow", self.smaslow.Current.Value)
self.Plot("AROON", "aroonup", self.aroon.AroonUp.Current.Value)
self.Plot("AROON", "aroondown", self.aroon.AroonDown.Current.Value)