Overall Statistics
Total Trades
103
Average Win
3.12%
Average Loss
-1.61%
Compounding Annual Return
1184.685%
Drawdown
7.900%
Expectancy
0.942
Net Profit
193.216%
Sharpe Ratio
13.954
Probabilistic Sharpe Ratio
99.911%
Loss Rate
34%
Win Rate
66%
Profit-Loss Ratio
1.93
Alpha
5.278
Beta
0.155
Annual Standard Deviation
0.381
Annual Variance
0.145
Information Ratio
12.904
Tracking Error
0.394
Treynor Ratio
34.336
Total Fees
$0.00
Estimated Strategy Capacity
$6000000.00
Lowest Capacity Asset
ETHUSD XJ
Portfolio Turnover
72.86%
 
from AlgorithmImports import *


class RetrospectiveYellowGreenAlligator(QCAlgorithm):

    def Initialize(self):
        # INITIALIZE
        self.SetStartDate(2023, 1, 18)
        self.SetEndDate(2023, 6, 19)
        self._cash = 100000
        self.SetCash(self._cash)

        self.ticker = "ETHUSD"
        self.AddCrypto(self.ticker, Resolution.Daily, Market.GDAX).Symbol

        # SET BENCHMARK AND PREPARE COMPARATIVE PLOT
        self.reference_ticker = self.History(self.Symbol(self.ticker), 10, Resolution.Daily)['close']
        self._initialValue_ticker = self.reference_ticker.iloc[0]

        # SET TECHNICAL INDICATORS
        self.Bolband = self.BB(self.ticker, 10, 0.45, MovingAverageType.Simple, Resolution.Daily)
        self.sto = self.STO(self.ticker, 8, 5, 5, Resolution.Daily)
        
         
         
        # Risk management
        self.AddRiskManagement(TrailingStopRiskManagementModel(0.06))
        self.Debug("Stop loss hit")
        self.AddRiskManagement(MaximumDrawdownPercentPerSecurity(0.05))
        self.Debug("Drawdown limit hit")




    def OnData(self, data):
        price = self.Securities[self.ticker].Close
        sto_value = self.sto.Current.Value
        
        if price > self.Bolband.UpperBand.Current.Value and sto_value > 80:
            self.SetHoldings(self.ticker, -1)
            self.Debug("Short position triggered")
        elif price > self.Bolband.MiddleBand.Current.Value and price < self.Bolband.UpperBand.Current.Value:
            self.SetHoldings(self.ticker, 0.5)
            self.Debug("Mid long triggered")
        elif price < self.Bolband.MiddleBand.Current.Value and price > self.Bolband.LowerBand.Current.Value and sto_value < 20:
            self.SetHoldings(self.ticker, 1)
            self.Debug("Long position triggered")
        elif self.Portfolio[self.ticker].UnrealizedProfitPercent > 0.07:
            self.Liquidate(self.ticker)
            self.Debug("Take profit triggered")
        else:
            self.SetHoldings(self.ticker, 1)

        self.Plot("Strategy Equity", str(self.ticker), self._cash * self.Securities[self.ticker].Close / self._initialValue_ticker)
        self.Plot("Strategy Equity", 'Portfolio Value', self.Portfolio.TotalPortfolioValue)
        self.Plot("Bollinger", 'BB Lower', self.Bolband.LowerBand.Current.Value)
        self.Plot("Bollinger", 'BB Upper', self.Bolband.UpperBand.Current.Value)
        self.Plot("Bollinger", 'BB Middle', self.Bolband.MiddleBand.Current.Value)
        self.Plot("Bollinger", str(self.ticker), self.Securities[self.ticker].Close)
        self.Plot("Stochastic", "faststoch", self.sto.FastStoch.Current.Value)
        self.Plot("Stochastic", "stochk", self.sto.StochK.Current.Value)
        self.Plot("Stochastic", "stochd", self.sto.StochD.Current.Value)