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
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
 
from Alphas.EmaCrossAlphaModel import MacdAlphaModel
from Execution.ImmediateExecutionModel import ImmediateExecutionModel
from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
from Execution.ImmediateExecutionModel import ImmediateExecutionModel
from Risk.NullRiskManagementModel import NullRiskManagementModel

class QuantumParticleFlange(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2018, 12, 1)  # Set Start Date
        self.SetEndDate(2019,1,1)
        self.SetCash(100000)  # Set Strategy Cash
        self.AddAlpha(MacdAlphaModel(resolution = Resolution.Hour))

        self.SetExecution(ImmediateExecutionModel())

        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())

        self.SetRiskManagement(NullRiskManagementModel())

        symbols = [ self.AddCrypto("BTCUSD", Resolution.Hour, Market.GDAX),
                    self.AddCrypto("ETHUSD", Resolution.Hour, Market.GDAX)]
        self.SetUniverseSelection( ManualUniverseSelectionModel(symbols) )


    def OnData(self, data):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
            Arguments:
                data: Slice object keyed by symbol containing the stock data
        '''

        # if not self.Portfolio.Invested:
        #    self.SetHoldings("SPY", 1)