| Overall Statistics |
|
Total Trades 9 Average Win 0% Average Loss 0% Compounding Annual Return 978235.597% Drawdown 12.100% Expectancy 0 Net Profit 37.991% Sharpe Ratio 5.962 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 496.581 Annual Standard Deviation 1.067 Annual Variance 1.139 Information Ratio 5.95 Tracking Error 1.067 Treynor Ratio 0.013 Total Fees $302.96 |
namespace QuantConnect.Algorithm.CSharp
{
public class BasicTemplateAlgorithm : QCAlgorithm
{
decimal cashLeft = 100000;
public override void Initialize()
{
SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
SetStartDate(2017, 12, 01); //Set Start Date
SetEndDate(2017, 12, 12); //Set End Date
SetCash(cashLeft); //Set Strategy Cash
AddCrypto("BTCUSD", Resolution.Daily, Market.GDAX);
}
public override void OnData(Slice data)
{
Debug("BTC Price is $" + data.Bars["BTCUSD"].Close + " and Buying Power is $" + Portfolio.GetBuyingPower("BTCUSD"));
if (Portfolio.GetBuyingPower("BTCUSD") > data.Bars["BTCUSD"].Close)
{
var ticket = MarketOrder("BTCUSD", 1);
if (ticket.Status == OrderStatus.Filled)
{
var fills = ticket.OrderEvents.Where(orderEvent => orderEvent.Status.IsFill()).ToList();
Debug("Bought! Now have " + Portfolio["BTCUSD"].Quantity + " coins");
cashLeft -= fills.Sum(fill => fill.FillPrice);
Debug("Actual Cash Left: " + cashLeft);
Debug("Delta Cash (error): " + (Portfolio.GetBuyingPower("BTCUSD") - cashLeft));
Debug(" ");
}
else
{
Debug("Failed Fill");
Debug(" ");
}
}
else
{
Debug("Not enough buying power");
Debug(" ");
}
}
}
}