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,