Overall Statistics
Total Trades
11
Average Win
23.03%
Average Loss
-2.98%
Compounding Annual Return
342.894%
Drawdown
22.600%
Expectancy
5.974
Net Profit
111.699%
Sharpe Ratio
4.148
Probabilistic Sharpe Ratio
87.961%
Loss Rate
20%
Win Rate
80%
Profit-Loss Ratio
7.72
Alpha
2.194
Beta
0.342
Annual Standard Deviation
0.527
Annual Variance
0.278
Information Ratio
3.914
Tracking Error
0.564
Treynor Ratio
6.397
Total Fees
$0.00
 
from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel

class ParticleCalibratedCompensator(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 10, 23)
        self.SetCash(100000)

        # Specify universe
        symbols = [ Symbol.Create("BTCUSD", SecurityType.Crypto, Market.GDAX) ]
        self.SetUniverseSelection( ManualUniverseSelectionModel(symbols) )

        # Add portfolio construction
        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())

        # Add alpha models
        self.AddAlpha( RsiAlphaModel() )
        self.AddAlpha( EmaCrossAlphaModel() )