Overall Statistics |
Total Trades
6
Average Win
0%
Average Loss
0%
Compounding Annual Return
65454150.795%
Drawdown
16.500%
Expectancy
0
Net Profit
59.891%
Sharpe Ratio
6.122
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
752.438
Annual Standard Deviation
1.575
Annual Variance
2.48
Information Ratio
6.114
Tracking Error
1.575
Treynor Ratio
0.013
Total Fees
$381.07
|
namespace QuantConnect.Algorithm.CSharp { public class BasicTemplateAlgorithm : QCAlgorithm { decimal cashLeft = 100000; public override void Initialize() { SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash); SetStartDate(2017, 12, 01); //Set Start Date SetEndDate(2017, 12, 12); //Set End Date SetCash(cashLeft); //Set Strategy Cash AddCrypto("BTCUSD", Resolution.Daily, Market.GDAX, leverage: 1); } public override void OnData(Slice data) { Plot("Crypto", "BTCUSD", data.Bars["BTCUSD"].Close); Debug(Time + " --> Quantity: " + Portfolio["BTCUSD"].Quantity + " coins and USD: " + Portfolio.CashBook["USD"].Amount); if (Portfolio.GetBuyingPower("BTCUSD") > data.Bars["BTCUSD"].Close) { var ticket = MarketOrder("BTCUSD", 2); if (ticket.Status == OrderStatus.Filled) { //Debug("Purchased another coin: " + Time); } else { //Debug("Failed Fill"); } } else { Debug("Not enough buying power"); } } } }