| Overall Statistics |
|
Total Trades 110 Average Win 1.48% Average Loss -1.29% Compounding Annual Return 11.351% Drawdown 10.500% Expectancy 0.283 Net Profit 21.811% Sharpe Ratio 0.875 Probabilistic Sharpe Ratio 39.267% Loss Rate 40% Win Rate 60% Profit-Loss Ratio 1.15 Alpha 0.082 Beta 0.048 Annual Standard Deviation 0.093 Annual Variance 0.009 Information Ratio 0.515 Tracking Error 0.17 Treynor Ratio 1.694 Total Fees ₮0.00 Estimated Strategy Capacity ₮710000.00 Lowest Capacity Asset ETHUSDT 2MN |
#region imports
using System;
using System.Collections;
using System.Collections.Generic;
using System.Linq;
using System.Globalization;
using System.Drawing;
using QuantConnect;
using QuantConnect.Algorithm.Framework;
using QuantConnect.Algorithm.Framework.Selection;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Parameters;
using QuantConnect.Benchmarks;
using QuantConnect.Brokerages;
using QuantConnect.Util;
using QuantConnect.Interfaces;
using QuantConnect.Algorithm;
using QuantConnect.Indicators;
using QuantConnect.Data;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Custom;
using QuantConnect.DataSource;
using QuantConnect.Data.Fundamental;
using QuantConnect.Data.Market;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Notifications;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.Slippage;
using QuantConnect.Scheduling;
using QuantConnect.Securities;
using QuantConnect.Securities.Equity;
using QuantConnect.Securities.Future;
using QuantConnect.Securities.Option;
using QuantConnect.Securities.Forex;
using QuantConnect.Securities.Crypto;
using QuantConnect.Securities.Interfaces;
using QuantConnect.Storage;
using QuantConnect.Data.Custom.AlphaStreams;
using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion
namespace QuantConnect.Algorithm.CSharp
{
public class UpgradedApricotHamster : QCAlgorithm
{
private Symbol _ethusd, _ethusdt;
private CompositeIndicator _ratio, _deltaSeries, _deltaDiff,_deltaNormRatio;
private Identity _ethusdId, _ethusdtId, _manualIdentity;
private SimpleMovingAverage _ratioSMA, _deltaSMA;
private StandardDeviation _deltaNormRatioA;
public override void Initialize()
{
SetStartDate(2021, 1, 1); //Set Start Date
SetAccountCurrency("USDT");
SetCash("USDT", 100000); //Set Strategy Cash
Debug("TimeZone: " + TimeZone);
_ethusd = AddCrypto("ETHUSD", Resolution.Daily, Market.Kraken).Symbol;
_ethusdt = AddCrypto("ETHUSDT", Resolution.Daily, Market.FTX).Symbol;
_ethusdId = Identity(_ethusd, Resolution.Daily);
_ethusdtId = Identity(_ethusdt, Resolution.Daily);
_ratio = _ethusdtId.Over(_ethusdId);
var smaLength = 55;
SetWarmUp(100);
/*var history = History("ETHUSD", smaLength, Resolution.Daily);
foreach (var bar in history)
{
_ethusd.Update(bar);
}
var history = History("ETHUSDT", smaLength, Resolution.Daily);
foreach (var bar in history)
{
_ethusdt.Update(bar);
}*/
_ratioSMA = (new SimpleMovingAverage(smaLength)).Of(_ratio);
_deltaSeries = _ratio.Minus(_ratioSMA);
_deltaSMA = (new SimpleMovingAverage(smaLength)).Of(_deltaSeries);
_deltaDiff = _deltaSeries.Minus(_deltaSMA);
_deltaNormRatioA = (new StandardDeviation(smaLength)).Of(_deltaDiff);
_deltaNormRatio = _deltaDiff.Over(_deltaNormRatioA);
}
public override void OnData(Slice data)
{
Plot("Indicator 1", "ethusdt_indicator", _ethusdtId.Current.Value);
Plot("Indicator 1", "ethusdt_price", data.Bars[_ethusdt].Close);
Plot("Indicator 2", "ethusd_indicator", _ethusdId.Current.Value);
Plot("Indicator 2", "ethusd_price", data.Bars[_ethusd].Close);
Plot("Indicator 3", "Ratio", _ratio.Current.Value);
Plot("Indicator 3", "RatioSMA", _ratioSMA.Current.Value);
Plot("Indicator 4", "Delta", _deltaSeries.Current.Value);
Plot("Indicator 4", "DeltaSMA", _deltaSMA.Current.Value);
Plot("Indicator 5", "DeltaDiff", _deltaDiff.Current.Value);
Plot("Indicator 6", "DeltaNormRatio", _deltaNormRatio.Current.Value);
if (_deltaNormRatio < -1.05m && !Portfolio["ETHUSDT"].IsLong) SetHoldings(_ethusdt, 0.2);
if (_deltaNormRatio > -0.05m && Portfolio["ETHUSDT"].IsLong) SetHoldings(_ethusdt, 0);
if (_deltaNormRatio > 1.05m && !Portfolio["ETHUSDT"].IsShort) SetHoldings(_ethusdt, -0.2);
if (_deltaNormRatio < 0.05m && Portfolio["ETHUSDT"].IsShort) SetHoldings(_ethusdt, 0);
}
}
}