Overall Statistics
Total Trades
17647
Average Win
0.09%
Average Loss
-0.09%
Compounding Annual Return
87.405%
Drawdown
35.200%
Expectancy
0.250
Net Profit
457.436%
Sharpe Ratio
1.636
Probabilistic Sharpe Ratio
68.472%
Loss Rate
38%
Win Rate
62%
Profit-Loss Ratio
1.01
Alpha
0.541
Beta
0.315
Annual Standard Deviation
0.419
Annual Variance
0.176
Information Ratio
0.404
Tracking Error
0.559
Treynor Ratio
2.18
Total Fees
$30759.34
Estimated Strategy Capacity
$4000.00
Lowest Capacity Asset
UNIUSD 2MN
 
from AlgorithmImports import *

class RebalancingPremiumsinCryptos(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 1)
        #self.SetEndDate(2020, 6, 1)
        self.SetCash(100000)
        self.SetBrokerageModel(BrokerageName.FTX, AccountType.Cash)
        self.Settings.FreePortfolioValuePercentage = 0.05
        self.week = -1
        self.readyToTrade = False
        self.high = 0

        self.SetWarmup(timedelta(40))
        
        
        # Get crypto USD pairs available to trade on FTX
        self.tickers = []
        url = "https://raw.githubusercontent.com/QuantConnect/Lean/master/Data/symbol-properties/symbol-properties-database.csv"
        spdb = self.Download(url).split('\n')
        # exclude FTX special pairs, stablecoins,