Overall Statistics
Total Trades
1
Average Win
12.18%
Average Loss
0%
Compounding Annual Return
7.994%
Drawdown
3.300%
Expectancy
0
Net Profit
12.184%
Sharpe Ratio
1.582
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
-0.014
Beta
0.389
Annual Standard Deviation
0.049
Annual Variance
0.002
Information Ratio
-2.246
Tracking Error
0.071
Treynor Ratio
0.201
namespace QuantConnect {

    /// <summary>
    /// Custom Data Type: Bitcoin data from Quandl.
    /// http://www.quandl.com/help/api-for-bitcoin-data
    /// </summary>
    public class Bitcoin : BaseData
    {
        //Set the defaults:
        public decimal Open = 0;
        public decimal High = 0;
        public decimal Low = 0;
        public decimal Close = 0;
        public decimal VolumeBTC = 0;
        public decimal VolumeUSD = 0;
        public decimal WeightedPrice = 0;

        /// <summary>
        /// 1. DEFAULT CONSTRUCTOR: Custom data types need a default constructor.
        /// We search for a default constructor so please provide one here. It won't be used for data, just to generate the "Factory".
        /// </summary>
        public Bitcoin()
        {
            this.Symbol = "BTC";
        }

        /// <summary>
        /// 2. RETURN THE STRING URL SOURCE LOCATION FOR YOUR DATA:
        /// This is a powerful and dynamic select source file method. If you have a large dataset, 10+mb we recommend you break it into smaller files. E.g. One zip per year.
        /// We can accept raw text or ZIP files. We read the file extension to determine if it is a zip file.
        /// </summary>
        /// <param name="config">Subscription data, symbol name, data type</param>
        /// <param name="date">Current date we're requesting. This allows you to break up the data source into daily files.</param>
        /// <param name="datafeed">Datafeed type: Backtesting or the Live data broker who will provide live data. You can specify a different source for live trading! </param>
        /// <returns>string URL end point.</returns>
        public override string GetSource(SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed)
        {
            switch (datafeed)
            {
                //Backtesting Data Source: Example of a data source which varies by day (commented out)
                default:
                case DataFeedEndpoint.Backtesting:
                    //return "http://my-ftp-server.com/futures-data-" + date.ToString("Ymd") + ".zip";
                    // OR simply return a fixed small data file. Large files will slow down your backtest
                    return "http://www.quandl.com/api/v1/datasets/BITCOIN/BITSTAMPUSD.csv?sort_order=asc";

                case DataFeedEndpoint.LiveTrading:
                    //Alternative live socket data source for live trading
                    return "....";
            }
        }

        /// <summary>
        /// 3. READER METHOD: Read 1 line from data source and convert it into Object.
        /// Each line of the CSV File is presented in here. The backend downloads your file, loads it into memory and then line by line
        /// feeds it into your algorithm
        /// </summary>
        /// <param name="line">string line from the data source file submitted above</param>
        /// <param name="config">Subscription data, symbol name, data type</param>
        /// <param name="date">Current date we're requesting. This allows you to break up the data source into daily files.</param>
        /// <param name="datafeed">Datafeed type - Backtesting or LiveTrading</param>
        /// <returns>New Bitcoin Object which extends BaseData.</returns>
        public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
        {
            //New Bitcoin object
            Bitcoin coin = new Bitcoin();

            try
            {
                //Example File Format:
                //Date,      Open   High    Low     Close   Volume (BTC)    Volume (Currency)   Weighted Price
                //2011-09-13 5.8    6.0     5.65    5.97    58.37138238,    346.0973893944      5.929230648356
                string[] data = line.Split(',');
                coin.Time = DateTime.Parse(data[0]);
                coin.Open = Convert.ToDecimal(data[1]);
                coin.High = Convert.ToDecimal(data[2]);
                coin.Low = Convert.ToDecimal(data[3]);
                coin.Close = Convert.ToDecimal(data[4]);
                coin.VolumeBTC = Convert.ToDecimal(data[5]);
                coin.VolumeUSD = Convert.ToDecimal(data[6]);
                coin.WeightedPrice = Convert.ToDecimal(data[7]);
                coin.Symbol = "BTC";
                coin.Value = coin.Close;
            }
            catch { /* Do nothing, skip first title row */ }

            return coin;
        }
    }
}                        
namespace QuantConnect 
{   
    /*
    *   QuantConnect University: Bollinger Bands Example:
    */
    public class BitcoinMomentum: QCAlgorithm
    {
        string _symbol = "SPY";
        string _customSymbol = "BTC";
        
        AverageTrueRange _atr;
        
        AverageTrueRange _atrCustom;
        Maximum _max;
        Minimum _min;
        
        //RSI Custom Data:
        
        decimal _price;
        DateTime sampledToday = DateTime.Now;
        int quantity = 0;
        
        //Initialize the data and resolution you require for your strategy:
        public override void Initialize()
        {
            //Initialize
            SetStartDate(2013, 1, 1);         
            SetEndDate(2014, 6, 30); 
            SetCash(25000);
            
            
            //Add as many securities as you like. All the data will be passed into the event handler:
            AddSecurity(SecurityType.Equity, _symbol, Resolution.Minute);
            
            //Add the Custom Data:
            
            
            //Set up Indicators:
            _atr = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily);
            _max = MAX(_symbol, 50, Resolution.Daily);
            _min = MIN(_symbol, 50, Resolution.Daily); 
            
            //Custom Data Indicator:
        }
        
        //Custom data event handler:
        public void OnData(TradeBars data) {
            
           //One data point per day:
            if (sampledToday.Date == data[_symbol].Time.Date) return;
            
            //Only take one data point per day (opening price)
            _price = Securities[_symbol].Close;
            sampledToday = data[_symbol].Time;
            
            if (!_max.IsReady) return;
            if (!_min.IsReady) return;
            
            //Get fresh cash balance: Set purchase quantity to equivalent 10% of portfolio.
            decimal cash = Portfolio.Cash;
            int holdings = Portfolio[_symbol].Quantity;
            quantity = Convert.ToInt32((cash * 0.5m) / _price);
            
           if (holdings > 0) {
                //If we're long: check if close is lower than lowest close in last 25 days
                if (_min > _price)
                {
                    //Now go flat:
                    Order(_symbol, -(holdings));
                    Log(Time.ToShortDateString() + " Going Flat after being long: " + holdings.ToString() + " Quantity:" + quantity.ToString());
                }
                
            } else if (holdings < 0) {
                //If we're short, check if close is higher than lowest close in last 25 days
                if (_max < _price) 
                {
                    //Now go flat: 
                    Order(_symbol, (holdings));
                    Log(Time.ToShortDateString() + "Going flat after being short: " + holdings.ToString() + " Quantity:" + quantity.ToString());
                }
                    
            } else if (holdings == 0) {
            //If we're flat: check if close is higher than highest in last 50 and go long
                if (_max <= _price) 
                {
                    //Now go long: 
                    Order(_symbol, quantity);
                    Log(Time.ToShortDateString() + "> Go Long >  Holdings: " + holdings.ToString() + " Quantity:" + quantity.ToString()); 
                } else if (_min >= _price) {
                    //If we're flat: check if close is lower than lowest in last 50 and go short
                    //Now go short: 
                    Order(_symbol, -(quantity));
                    Log(Time.ToShortDateString() + "> Go Short >  Holdings: " + holdings.ToString() + " Quantity:" + quantity.ToString()); 
                }
            }
        }
    }
}