Overall Statistics
Total Orders
20
Average Win
0%
Average Loss
-2.68%
Compounding Annual Return
-90.676%
Drawdown
67.100%
Expectancy
-1
Start Equity
100000.00
End Equity
36739.44
Net Profit
-63.261%
Sharpe Ratio
-1.768
Sortino Ratio
-2.35
Probabilistic Sharpe Ratio
0.026%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.567
Beta
-0.734
Annual Standard Deviation
0.436
Annual Variance
0.19
Information Ratio
-2.141
Tracking Error
0.489
Treynor Ratio
1.049
Total Fees
$0.00
Estimated Strategy Capacity
$610000.00
Lowest Capacity Asset
BTCUSD 2XR
Portfolio Turnover
2.02%
Drawdown Recovery
32
 
# region imports
from AlgorithmImports import *
# endregion

class VirtualMagentaBeaver(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2020, 8, 1)
        self.set_end_date(2021, 1, 1)
        self.set_cash(100000)
        self.add_crypto('BTCUSD')

    def on_data(self, data):
        if not self.portfolio.invested:
            self.set_holdings('BTCUSD', -1)