Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
-2.705
Tracking Error
0.641
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
class MuscularGreenAlbatross(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2020, 1, 1)  # Set Start Date
        self.SetEndDate(2021, 10, 7) #Set End Date
        self.SetBrokerageModel(BrokerageName.Bitfinex, AccountType.Cash) #Broker Modell
        
        #universe
        universe = ['BTCUSD']
        self.pairs = [Pair(self, ticker) for ticker in universe]
        self.SetBenchmark("BTCUSD")
        self.SetWarmup(30)
        
    def OnData(self, data):
        for pair in self.pairs:
            if not pair.sma.IsReady or pair.sma_sma.IsReady:
                return
            symbol = pair.symbol
            sma = pair.sma.Current.Value
            sma_sma = pair.sma_sma.Current.Value
            rsi = pair.rsi.Current.Value
        
            self.Plot("Calc", str(symbol) + " " +  "SMA", sma)
            self.Plot("Calc", str(symbol) + " " + "SMA-SMA", sma_sma)
            self.Plot("Calc", str(symbol) + " " + "RSI", rsi)
        
        
         
class Pair:
    def __init__(self, algorithm, ticker):
        self.symbol = algorithm.AddCrypto(ticker, Resolution.Daily, Market.Bitfinex).Symbol
        self.sma = algorithm.SMA(self.symbol, 21,Resolution.Daily)
        self.sma_sma = IndicatorExtensions.Of(SimpleMovingAverage(5), self.sma) 
        self.rsi = algorithm.RSI(self.symbol, 14, MovingAverageType.Simple, Resolution.Daily)
        
    def is_ready(self):
        return self.sma.IsReady and self.sma_sma.IsReady
        
    def update(self, time, price):
        self.sma.Update(time, price)
        self.sma_sma.Update(time, price)
        self.rsi(time, price)