| Overall Statistics |
|
Total Trades 114 Average Win 0.11% Average Loss -0.31% Compounding Annual Return -17.628% Drawdown 14.900% Expectancy -0.251 Net Profit -1.677% Sharpe Ratio -0.676 Probabilistic Sharpe Ratio 25.997% Loss Rate 45% Win Rate 55% Profit-Loss Ratio 0.35 Alpha 0.163 Beta 1.094 Annual Standard Deviation 0.53 Annual Variance 0.281 Information Ratio 0.347 Tracking Error 0.342 Treynor Ratio -0.328 Total Fees $219971.59 Estimated Strategy Capacity $16000.00 Lowest Capacity Asset TRXBTC 10B |
from AlgorithmImports import *
class CoinAPIDataAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 6, 1)
self.SetEndDate(2020, 7, 1)
self.SetCash(100000)
self.SetCash("BTC", 1000)
# Kraken accepts both Cash and Margin type account.
self.SetBrokerageModel(BrokerageName.Kraken, AccountType.Margin)
# Warm up the security with the last known price to avoid conversion error
self.SetSecurityInitializer(lambda security: security.SetMarketPrice(self.GetLastKnownPrice(security)))
self.UniverseSettings.Resolution = Resolution.Daily
# Add universe selection of cryptos based on coarse fundamentals
self.AddUniverse(CryptoCoarseFundamentalUniverse(Market.Kraken, self.UniverseSettings, self.UniverseSelectionFilter))
self.AddAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(days=1), 0.025, None))
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
def UniverseSelectionFilter(self, crypto_coarse):
return [d.Symbol for d in sorted(crypto_coarse, key=lambda x: x.VolumeInUsd, reverse=True)[:5]]
def OnSecuritiesChanged(self, changes):
for security in changes.AddedSecurities:
# Historical data
history = self.History(security.Symbol, 30, Resolution.Daily)
self.Debug(f"We got {len(history)} items from our history request")