| Overall Statistics |
|
Total Trades 302 Average Win 1.12% Average Loss -0.04% Compounding Annual Return 33.038% Drawdown 0.300% Expectancy 26.974 Net Profit 358.464% Sharpe Ratio 0.459 Probabilistic Sharpe Ratio 0.017% Loss Rate 7% Win Rate 93% Profit-Loss Ratio 28.96 Alpha 0.545 Beta 0.049 Annual Standard Deviation 1.186 Annual Variance 1.407 Information Ratio 0.457 Tracking Error 1.188 Treynor Ratio 11.082 Total Fees ₿0.08 Estimated Strategy Capacity ₿0 Lowest Capacity Asset LTCBTC E3 |
#region imports
using System;
using System.Collections;
using System.Collections.Generic;
using System.Linq;
using System.Globalization;
using System.Drawing;
using QuantConnect;
using QuantConnect.Algorithm.Framework;
using QuantConnect.Algorithm.Framework.Selection;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Parameters;
using QuantConnect.Benchmarks;
using QuantConnect.Brokerages;
using QuantConnect.Util;
using QuantConnect.Interfaces;
using QuantConnect.Algorithm;
using QuantConnect.Indicators;
using QuantConnect.Data;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Custom;
using QuantConnect.DataSource;
using QuantConnect.Data.Fundamental;
using QuantConnect.Data.Market;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Notifications;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.Slippage;
using QuantConnect.Scheduling;
using QuantConnect.Securities;
using QuantConnect.Securities.Equity;
using QuantConnect.Securities.Future;
using QuantConnect.Securities.Option;
using QuantConnect.Securities.Forex;
using QuantConnect.Securities.Crypto;
using QuantConnect.Securities.Interfaces;
using QuantConnect.Storage;
using QuantConnect.Data.Custom.AlphaStreams;
using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion
namespace QuantConnect.Algorithm.CSharp
{
public class VentralTransdimensionalChamber : QCAlgorithm
{
// Trading bot that trades with the highest and lowest exchange rate of the last 24 hours.
// Buying determined bacause the factor, MACD and the current price.
private Dictionary<Symbol, SymbolData> _dataBySymbol;
// VARIABELEN DECLAREREN
//private decimal _targetPercent = .008m;
private decimal _targetPercent = .01m; //Sell when 1% profit
private decimal _stopPercent = .10m; //Sell when loss is 10%
//TrailPercentage
//private decimal _trailPercent = .07m;
decimal _minPosition = .05m; // min BTC needed to invest.
public decimal _btc;
public string valuta = "BTC";
public decimal _holding;
//ORDERSIZE
private decimal usdAmount = 500.0m; //size in USD we want to invest.
private Symbol btcusd;
private decimal _btcStijging = 0.5m;
Resolution res = Resolution.Minute;
//MACD VARIABLES
public int RollingWindow = 5;
RollingWindow<IndicatorDataPoint> _macdWin;
MovingAverageConvergenceDivergence _macd;
MomentumPercent _momentumPercent;
private decimal pipProfit;
decimal macd_change;
public decimal _VolumeMinimum = 1000000;
//RSI Variabelen
RelativeStrengthIndex _rsi;
//INITIALIZE BLOCK
public override void Initialize()
{
SetStartDate(2017, 1, 1);
SetEndDate(2022, 5, 1);
SetAccountCurrency(valuta);
SetCash("BTC", 1);
SetBrokerageModel(BrokerageName.Bitfinex, AccountType.Cash);
btcusd = AddCrypto("BTCUSD", Resolution.Minute).Symbol;
int MomentumPercentPeriod = 1440; //1dag = 1440, 2dagen = 2880, 3dagen = 4320, 4dagen = 5760, 5dagen = 7200, 6dagen = 8640, 7dagen = 10080, 8dagen = 11520, 9dagen = 12960, 10dagen = 14400
_momentumPercent = MOMP("BTCUSD", MomentumPercentPeriod, Resolution.Minute);
SetWarmUp(MomentumPercentPeriod, Resolution.Minute);
_dataBySymbol = new Dictionary<Symbol, SymbolData>();
foreach (var ticker in new [] {"ETHBTC", "LTCBTC","EOSBTC", "ADABTC"})
//, "DOTBTC", "LINKBTC", "SOLBTC", "MATICBTC", "XMRBTC", "UNIBTC", "VETBTC", "TRXBTC", "EGLDBTC", "AVAXBTC", "XTZBTC", "WAVESBTC", "FTMBTC"
/*"ETHBTC", "ADABTC", "DOTBTC", "AXSBTC", "LINKBTC", "RUNEBTC", "SOLBTC", "MATICBTC", "XMRBTC", "UNIBTC", "ALICEBTC", "VETBTC", "TLMBTC",
"COMPBTC", "SUSHIBTC", "FILBTC", "SANDBTC", "CAKEBTC", "CRVBTC", "NEOBTC", "XLMBTC", "FETBTC", "TRXBTC", "ATOMBTC",
"RVNBTC", "KAVABTC", "SXPBTC", "STORJBTC", "NMRBTC", "1INCHBTC", "ETCBTC", "CHZBTC", "TFUELBTC", "ALGOBTC","AAVEBTC",
"EGLDBTC", "ZILBTC", "AVAXBTC", "OMGBTC", "SNXBTC", "NANOBTC", "MANABTC", "KSMBTC", "ENJBTC", "NEARBTC", "XTZBTC", "IOTABTC", "DASHBTC", "HBARBTC", "FTTBTC",
"WAVESBTC", "AUDIOBTC", "IOSTBTC", "CELRBTC", "HNTBTC", "ALPHABTC", "ZECBTC", "ICXBTC", "LTCBTC",
"COTIBTC", "FTMBTC", "ONEBTC", "CHRBTC", "ARBTC", "CTSIBTC", "GRTBTC",
"ANKRBTC", "GASBTC", "ARPABTC", "KNCBTC", "ADXBTC", "TVKBTC", "OGNBTC", "LRCBTC", "ONTBTC",
"RENBTC", "DIABTC", "SUPERBTC", "BAKEBTC", "THETABTC" */
{
var crypto = AddCrypto(ticker, res);
_dataBySymbol.Add(crypto.Symbol, new SymbolData(this, crypto));
}
SetWarmUp(3 * SymbolData.MinutesOfTrading, res);
//SetWarmUp(SymbolData.MinutesOfTrading, Resolution.Minute);
}
private decimal NormalizeQuantity(Symbol symbol, decimal quantity)
{
var pip = Securities[symbol].SymbolProperties.MinimumPriceVariation;
return Math.Round(quantity/pip) * pip;
}
// ON DATA BLOCK (waar bestanden/data binnenkomt in het programma)
public override void OnData(Slice data)
{
if (IsWarmingUp) return;
if (!_momentumPercent.IsReady) return;
foreach (var kvp in _dataBySymbol)
{
var symbolData = kvp.Value;
if (!symbolData.IsReady)
{
continue;
}
var symbol = kvp.Key;
if (!data.Bars.ContainsKey(symbol))
{
continue;
}
if (!data.ContainsKey(symbol) | !data.ContainsKey("BTCUSD")) // !data.ContainsKey(symbol)
{
return;
}
//Calculate usdAmount to BtcAmount
var btcAmount = usdAmount / data[btcusd].Close;
//DETERMINE WHAT THE VALUE OF $150 USD IS IN BTC
Plot("150 USD in BTC", "Value", btcAmount);
var price = data[symbol].Price;
var invested = Portfolio[symbol].Invested;
_btc = Portfolio.CashBook[valuta].Amount;
//_volume = data.Bars[symbol].Volume;
//Log Message for checking if we getting Data!
if (LiveMode)
{
var msg = $"\n{symbol} :: IsInvested? {invested} | Factor: {symbolData.Factor} | ";
msg += $"LowestAvg: {symbolData.LowestAverage} | Price: {price} | MACD Change: {symbolData.MacdChange} | BTC 24h change %: {_momentumPercent} | Portfolio Amount: {_btc}\n";
Log(msg);
}
//BUYING PART!!
if (!invested && symbolData.Factor >= 3 && symbolData.LowestAverage >= price && _momentumPercent > _btcStijging && _btc > _minPosition) // && _momentumPercent >= _btcStijging && _btc > _minPosition
{
if (symbolData.MacdChange >= 0 && symbolData._rsi <= 20)//&& symbolData.MacdChange < 2
{
//Determine order size.
var quantity = NormalizeQuantity(symbol, btcAmount / data[symbol].Close);
//var msg = $"\n\n AANKOOP ter waarde van {btcAmount} BTC | {symbol} Hoeveelheid: {quantity} voor een bedrag van {usdAmount} euro | Aankoopprijs {symbol} van {data[symbol].Price}BTC\n\n";
//Log(msg);
//Debug(msg);
if (quantity == 0) continue;
//Placing Order
MarketOrder(symbol, quantity);
Plot("Trades", "AANKOOP", price);
Debug($"\n\n ********** AANKOOP: {symbol} aankoopprijs {data[symbol].Price} ter waarde van {usdAmount}euro **********\n\n"); // Als het order gemaakt is word dit bevestigd door de debug
//Sending message to telegram group
Notify.Telegram("-100155824763**", $"Aankoopmogelijkheid {symbol} met aankoopprijs: {data[symbol].Price}", "**087994843:AAGz-tc6Jc5rXuHtNSQcWAJVZygTlZSpUdE");
//Sending message to mail
Notify.Email("tradingbot*******@gmail.com", "TradeAlert",$"Gekocht {symbol} op {data[symbol].Price}");
//Log message
Log($"prijs {price} en Max 24uur {symbolData.MaxExchange} en MIN 24uur {symbolData.MinExchange}");
//Determine Which selling price.
symbolData.TargetPrice = price * (1 + _targetPercent); //DETERMINE WICH SELLING PRICE WHEN PROFIT.
symbolData.StopPrice = price * (1 - _stopPercent); //DETERMINE WICH SELLING PRICE WHEN LOSS.
//symbolData.StopPrice = Math.Max(symbolData.StopPrice, price - (price * _trailPercent));
}
}
//SELLING PART!!
if (invested)
{
//Selling with GAIN
if (price >= symbolData.TargetPrice)
{
Debug($"\n\n********** VERKOOP WINST: {symbol} {data[symbol].Price} **********\n\n "); // Als het order gemaakt is word dit bevestigd door de debug
Plot("BTC", "Holdings", Portfolio.CashBook["BTC"].Amount);
Plot("Trades", "VERKOOP WINST \n", price);
var tag = $"+1% WINST VERKOCHT {symbol} op {data[symbol].Price}";
//Sell Order
Liquidate(symbol, tag);
//log message
Log(tag);
//Sending message to telegram group
Notify.Telegram("-100155824763**", $"VERKOOP WINST {symbol} met verkoopprijs: {data[symbol].Price}", "**087994843:AAGz-tc6Jc5rXuHtNSQcWAJVZygTlZSpUdE");
//Sending message to mail
Notify.Email("tradingbot*******@gmail.com", "TradeAlert", tag);
}
//Selling with Loss
if (price < symbolData.StopPrice)
{
Debug($"\n\n********** VERKOOP VERLIES: {symbol} {data[symbol].Price} van een bedrag van {usdAmount}euro ********** \n\n"); // Als het order gemaakt is word dit bevestigd door de debug
Plot("BTC", "Holdings", Portfolio.CashBook["BTC"].Amount);
Plot("Trades", "VERKOOP VERLIES \n", price);
var tag = $"-10% VERLIES VERKOCHT {symbol} op {data[symbol].Price}";
//Sell order
Liquidate(symbol, tag);
//Log message
Log(tag);
//Sending message to mail
Notify.Telegram("-100155824763***", $"VERKOOP VERLIES {symbol} met verkoopprijs: {data[symbol].Price}", "***087994843:AAGz-tc6Jc5rXuHtNSQcWAJVZygTlZSpUdE");
//Sending message to mail
Notify.Email("tradingbot*****@gmail.com", "TradeAlert", tag);
}
}
}
}
}
public class SymbolData
{
private Cash _cash;
public static int MinutesOfTrading = 1140;
int MomentumPercentPeriod = 1440;
public decimal StopPrice;
public decimal TargetPrice;
//Macd
public int fast = 12; //12 5
public int slow = 26; //26 35
public int sig = 9; //9 5
//RSI
public Minimum _minCustom;
public Maximum _maxCustom;
public decimal Holding => _cash.Amount;
public Maximum MaxExchange { get; private set; }
public Minimum MinExchange { get; private set; }
public MovingAverageConvergenceDivergence _macd {get; private set;}
public RollingWindow<IndicatorDataPoint> _macdWin {get; private set;}
public RelativeStrengthIndex _rsi {get; private set;}
public bool IsReady => MaxExchange.IsReady && MinExchange.IsReady && _macdWin.IsReady && _macd.IsReady; //&& _rsi.IsReady;
public decimal MacdChange =>(_macdWin[0] - _macdWin[_macdWin.Count - 1]);
public decimal Factor => (((MaxExchange - MinExchange)/2)/MaxExchange)*100;
decimal percentage = 2.1m;
public decimal LowestAverage => ((MaxExchange + MinExchange)/2 + MinExchange)/percentage;
public SymbolData(QCAlgorithm algorithm, Crypto crypto)
{
Resolution resM = Resolution.Minute;
//Resolution resH = Resolution.Hour;
_cash = algorithm.Portfolio.CashBook[crypto.BaseCurrencySymbol];
MaxExchange = algorithm.MAX(crypto.Symbol, MinutesOfTrading, resM);
MinExchange = algorithm.MIN(crypto.Symbol, MinutesOfTrading, resM);
_macd = algorithm.MACD(crypto.Symbol, fast, slow, sig, MovingAverageType.Exponential,resM);
_macdWin = new RollingWindow<IndicatorDataPoint>(5);
_macd.Signal.Updated +=(sender, updated) => _macdWin.Add(updated);
_rsi = algorithm.RSI(crypto.Symbol, 4, MovingAverageType.Simple, resM);
}
}
}
#region imports
using System;
using System.Collections;
using System.Collections.Generic;
using System.Linq;
using System.Globalization;
using System.Drawing;
using QuantConnect;
using QuantConnect.Algorithm.Framework;
using QuantConnect.Algorithm.Framework.Selection;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Parameters;
using QuantConnect.Benchmarks;
using QuantConnect.Brokerages;
using QuantConnect.Util;
using QuantConnect.Interfaces;
using QuantConnect.Algorithm;
using QuantConnect.Indicators;
using QuantConnect.Data;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Custom;
using QuantConnect.DataSource;
using QuantConnect.Data.Fundamental;
using QuantConnect.Data.Market;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Notifications;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.Slippage;
using QuantConnect.Scheduling;
using QuantConnect.Securities;
using QuantConnect.Securities.Equity;
using QuantConnect.Securities.Future;
using QuantConnect.Securities.Option;
using QuantConnect.Securities.Forex;
using QuantConnect.Securities.Interfaces;
using QuantConnect.Storage;
using QuantConnect.Data.Custom.AlphaStreams;
using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion
namespace QuantConnect.Algorithm.CSharp
{
}
/*
using QuantConnect.Securities.Crypto;
namespace QuantConnect.Algorithm.CSharp
{
public class VentralTransdimensionalChamber : QCAlgorithm
{
// Trading bot that trades with the highest and lowest exchange rate of the last 24 hours.
// Buying determined bacause the factor and the current price.
private Dictionary<Symbol, SymbolData> _dataBySymbol;
// VARIABELEN DECLAREREN
private string _ticker = "ETHEUR"; //virtueel paar - tracks the current USD value of 1 ether.
private int _startingCash = 2000;
private decimal _weight = 1m; ///Percentage van portfolio dat je wilt investeren // % of portfolio for every trade.
private decimal _targetPercent = .01m; //1% winst dan verkopen // Sell when 1% profit
private decimal _stopPercent = .10m; //verkopen bij de 10% verlies / Sell when loss is 10%
int _maxPosition = 900; // Max USD invested
int _minPosition = 750; // min USD needed to invest.
//INITIALIZE BLOCK
public override void Initialize()
{
SetStartDate(2017, 1, 3);
SetEndDate(2018, 1, 1);
SetCash("EUR", _startingCash);
SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
_dataBySymbol = new Dictionary<Symbol, SymbolData>();
foreach (var ticker in new [] { "ETHEUR" })
{
var crypto = AddCrypto(ticker, Resolution.Minute);
_dataBySymbol.Add(crypto.Symbol, new SymbolData(this, crypto));
}
SetWarmUp(SymbolData.MinutesOfTrading, Resolution.Minute);
}
// ON DATA BLOCK (waar bestanden/data binnenkomt in het programma)
public override void OnData(Slice data)
{
if (IsWarmingUp) return;
foreach (var kvp in _dataBySymbol)
{
var symbolData = kvp.Value;
if (!symbolData.IsReady)
{
continue;
}
var symbol = kvp.Key;
if (!data.Bars.ContainsKey(symbol))
{
continue;
}
var price = data[symbol].Price;
var invested = Portfolio[symbol].Invested;
if (!invested &&
symbolData.Factor >= 3)// &&
//symbolData.LowestAverage > price)
{
var qnty = CalculateOrderQuantity(symbol, _weight);
SetHoldings(symbol, _weight); // om een order te maken ==>percentage van portfolio dat je wilt investeren
Debug($"Purchased Stock: {symbol}"); // Als het order gemaakt is word dit bevestigd door de debug
//Log($"prijs {price} en Max 24uur {symbolData.MaxExchange} en MIN 24uur symbolData.MinExchange}");
symbolData.TargetPrice = price * (1 + _targetPercent); //Bepalen welke verkoopprijs bij winst (huidige prijs + 1%) // determine wich selling price at profit
symbolData.StopPrice = price * (1 - _stopPercent); //bepalen welke verkoopprijs bij verlies (huidige - 2%) // determine wich selling price at loss.
}
if (invested)
{
if (price >= symbolData.TargetPrice)
{
Sell(symbol, symbolData.Holding);
//Log($"prijs {price}");
}
if (price < symbolData.StopPrice)
{
Sell(symbol, symbolData.Holding);
//Log($"prijs {price}");
}
}
}
}
}
public class SymbolData
{
private Cash _cash;
public static int MinutesOfTrading = 1140;
public decimal StopPrice;
public decimal TargetPrice;
//Het aantal Ether we in onze portfolio hebben zitten.
public decimal Holding => _cash.Amount;
public Maximum MaxExchange { get; private set; }
public Minimum MinExchange { get; private set; }
public bool IsReady => MaxExchange.IsReady && MinExchange.IsReady;
public decimal Factor => (((MaxExchange - MinExchange)/2)/MaxExchange)*100;
public decimal LowestAverage => ((MaxExchange + MinExchange)/2 + MinExchange)/2;
public SymbolData(QCAlgorithm algorithm, Crypto crypto)
{
_cash = algorithm.Portfolio.CashBook[crypto.BaseCurrencySymbol];
MaxExchange = algorithm.MAX(crypto.Symbol, MinutesOfTrading, Resolution.Minute);
MinExchange = algorithm.MIN(crypto.Symbol, MinutesOfTrading, Resolution.Minute);
}
}
}
*/