Overall Statistics
Total Trades
70
Average Win
1.27%
Average Loss
-0.04%
Compounding Annual Return
13.990%
Drawdown
48.000%
Expectancy
30.194
Net Profit
14.022%
Sharpe Ratio
0.493
Probabilistic Sharpe Ratio
25.019%
Loss Rate
6%
Win Rate
94%
Profit-Loss Ratio
32.14
Alpha
-0.014
Beta
1.409
Annual Standard Deviation
0.535
Annual Variance
0.286
Information Ratio
0.129
Tracking Error
0.515
Treynor Ratio
0.187
Total Fees
$0.00
Estimated Strategy Capacity
$3300000.00
Lowest Capacity Asset
BTCUSD XJ
 
class CalmYellowGreenFox(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 1, 1)  # Set Start Date
        self.SetEndDate(2021,12,31)
        self.SetCash(100000)  # Set Strategy Cash
        self.btc = self.AddCrypto("BTCUSD", Resolution.Daily).Symbol
        
        self.takeProfit = None
        self.stopLoss = None
        
    def OnData(self, data):
        price = data[self.btc].Close
        
        if not(self.Portfolio.Invested and not self.Transactions.GetOpenOrders):
            self.order = self.MarketOrder(self.btc,1)
            self.takeProfit = self.LimitOrder(self.btc,-1,price*1.03)
            self.stopLoss = self.StopMarketOrder(self.btc,-1,price*0.97)
        elif(price > self.previousPrice):
            self.stopLoss.UpdateStopPrice(price*0.97)
        
        self.previousPrice = price
    def OnOrderEvent(self, orderEvent):
        order = self.Transactions.GetOrderById(orderEvent.OrderId)
        
        if orderEvent.Status != OrderStatus.Filled: 
            return
        
        if  self.takeProfit == None or self.stopLoss == None:
            return
        
        if(order.Id == self.takeProfit.OrderId):
            self.stopLoss.Cancel()
            return
            
        if(order.Id == self.stopLoss.OrderId):
            self.takeProfit.Cancel()
            return