| Overall Statistics |
|
Total Trades 10001 Average Win 0.00% Average Loss 0.00% Compounding Annual Return -0.111% Drawdown 4.000% Expectancy 0.331 Net Profit -0.139% Sharpe Ratio -0.002 Probabilistic Sharpe Ratio 8.877% Loss Rate 85% Win Rate 15% Profit-Loss Ratio 8.08 Alpha -0.005 Beta -0.068 Annual Standard Deviation 0.038 Annual Variance 0.001 Information Ratio 0.244 Tracking Error 0.324 Treynor Ratio 0.001 Total Fees $2.25 Estimated Strategy Capacity $0 Lowest Capacity Asset USDTUSD 2MN |
class CalmLightBrownKitten(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019, 1, 1) # Set Start Date
self.SetEndDate(2021 , 1 , 1)
self.SetCash(1000) # Set Strategy Cash
self.btcusd = self.AddCrypto("USDTUSD", Resolution.Minute , Market.FTX).Symbol
self.SetBrokerageModel(BrokerageName.FTX, AccountType.Margin)
self.entryPrice = 0
self.nextEntryTime = self.Time
def OnData(self, data):
usdt_price = data[self.btcusd].Price
self.Log(f"Time: {self.Time}; Price: {usdt_price};")
history = self.History(self.btcusd, 30, Resolution.Hour)
if not self.Portfolio.Invested:
if self.nextEntryTime <= self.Time:
self.Invested = self.SetHoldings(self.btcusd, 1)
self.Log("BUY USDTUSD @" + str(usdt_price))
self.entryPrice = usdt_price
self.Securities["USDTUSD"].HasData # Security has data
self.Invested # Have holdings
self.LocalTime = self.Time # Time on the asset exchange
self.Holdings = self.SetHoldings(self.btcusd, 1) # Portfolio object
self.Exchange = usdt_price # Exchange information