Overall Statistics
Total Trades
2
Average Win
5219.40%
Average Loss
0%
Compounding Annual Return
130.048%
Drawdown
82.900%
Expectancy
0
Net Profit
5240.711%
Sharpe Ratio
1.83
Probabilistic Sharpe Ratio
68.904%
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
0.269
Beta
0.765
Annual Standard Deviation
0.682
Annual Variance
0.465
Information Ratio
-0.07
Tracking Error
0.451
Treynor Ratio
1.632
Total Fees
$435.20
Estimated Strategy Capacity
$2400000.00
Lowest Capacity Asset
BTCUSD E3
 
class HyperActiveYellowFox(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2017, 1, 2)  # Set Start Date
        self.SetEndDate(2021, 10, 9)
        self.SetCash(4000)  
        
        self.count_days = 0
        
        #self.symbols = ['BTCUSD','ETHUSD', 'ADAUSD', 'LTCUSD', 'XRPUSD', 'DOGEUSD', 'DOTUSD', 'SOLUSD', 'UNIUSD', 'LUNAUSD']
        #self.symbols = ['BTCUSD','ETHUSD','XRPUSD','SOLUSD','LUNAUSD']
        self.symbols = ['BTCUSD']
        #self.lookup = {"BTCUSD":"BTC","ETHUSD":"ETH","XRPUSD":"XRP","SOLUSD":"SOL"}
        
        for symbol in self.symbols:
            data = self.AddCrypto(symbol, Resolution.Daily, Market.Bitfinex)
            data.SetFeeModel(CustomFeeModel(self))
        
        self.SetBrokerageModel(BrokerageName.Bitfinex)
        
        #data = self.AddCrypto(self.symbol, Resolution.Daily, Market.Bitfinex)
        #data.SetFeeModel(CustomFeeModel(self))
        
    def OnData(self, data):
        self.count_days += 1
        
        if not self.Portfolio.Invested:
            for symbol in self.symbols:
                self.SetHoldings(symbol, 1/len(self.symbols))

    def OnEndOfAlgorithm(self):
        self.Liquidate()
        
# Custom fee model.
class CustomFeeModel(FeeModel):
    def GetOrderFee(self, parameters):
        fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.002
        return OrderFee(CashAmount(fee, "USD"))