| Overall Statistics |
|
Total Trades 30 Average Win 51.23% Average Loss -6.30% Compounding Annual Return 246.610% Drawdown 37.000% Expectancy 5.088 Net Profit 2608.917% Sharpe Ratio 3.17 Probabilistic Sharpe Ratio 95.031% Loss Rate 33% Win Rate 67% Profit-Loss Ratio 8.13 Alpha 1.742 Beta -0.005 Annual Standard Deviation 0.548 Annual Variance 0.301 Information Ratio 1.076 Tracking Error 0.824 Treynor Ratio -346.392 Total Fees $0.00 Estimated Strategy Capacity $12000000.00 Lowest Capacity Asset ETHUSD XJ |
class CalmAsparagusJackal(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2018, 10, 21)
self.Settings.FreePortfolioValuePercentage = .005
self.SetCash(6418)
self.SetBenchmark(SecurityType.Crypto, "BTCUSD")
self.AddCrypto("BTCUSD", Resolution.Daily).Symbol
self.AddCrypto("ETHUSD", Resolution.Daily).Symbol
self.btcma = self.EMA("BTCUSD", 2, Resolution.Daily)
self.mama = self.EMA("ETHUSD", 2, Resolution.Daily)
self.baseline = self.ALMA("BTCUSD", 200, Resolution.Daily)
self.SetBenchmark("BTCUSD")
self.btcma.Updated += self.btcmaUpdated
self.btcWin = RollingWindow[IndicatorDataPoint](50)
self.mama.Updated += self.mamaUpdated
self.mamaWin = RollingWindow[IndicatorDataPoint](50)
self.SetWarmUp(200, Resolution.Daily)
def btcmaUpdated(self, sender, updated):
self.btcWin.Add(updated)
def mamaUpdated(self, sender, updated):
self.mamaWin.Add(updated)
def OnData(self, data):
if not self.baseline.IsReady:
return
bp1 = self.btcWin[49].Value
bp2 = self.btcWin[0].Value
mp1 = self.mamaWin[49].Value
mp2 = self.mamaWin[0].Value
btc_pct = ((bp2 - bp1)/bp1)
eth_pct = ((mp2 - mp1)/mp1)
dif_1 = eth_pct - btc_pct
dif_2 = btc_pct - eth_pct
if not self.Portfolio.Invested:
if self.Securities["BTCUSD"].Close > self.baseline.Current.Value*1.05:
if dif_1 >= .01:
self.SetHoldings("ETHUSD", 1)
elif dif_2 >= .01:
self.SetHoldings("BTCUSD", 1)
else: return
else: return
else:
if self.Securities["BTCUSD"].Close > self.baseline.Current.Value:
if dif_1 >= .05:
limitPrice = round(self.Securities["BTCUSD"].Price * 1.01, 2)
quantity = self.Portfolio.CashBook["BTC"].Amount
self.LimitOrder("BTCUSD", -quantity, limitPrice)
self.SetHoldings("ETHUSD", 1)
elif dif_2 >= .05:
limitPrice = round(self.Securities["ETHUSD"].Price * 1.01, 2)
quantity = self.Portfolio.CashBook["ETH"].Amount
self.LimitOrder("ETHUSD", -quantity, limitPrice)
self.SetHoldings("BTCUSD", 1)
else: return
else: self.Liquidate()