| Overall Statistics |
|
Total Trades 393 Average Win 3.41% Average Loss -2.84% Compounding Annual Return 63.691% Drawdown 38.900% Expectancy 0.213 Net Profit 168.311% Sharpe Ratio 1.293 Probabilistic Sharpe Ratio 53.036% Loss Rate 45% Win Rate 55% Profit-Loss Ratio 1.20 Alpha 0.511 Beta 0.05 Annual Standard Deviation 0.402 Annual Variance 0.162 Information Ratio 0.736 Tracking Error 0.449 Treynor Ratio 10.411 Total Fees $0.00 Estimated Strategy Capacity $250000.00 Lowest Capacity Asset BTCUSD E3 |
namespace QuantConnect.Algorithm.CSharp
{
public class BlockchainBitcoinMetadataAlgorithm : QCAlgorithm
{
private Symbol _bitcoinMetadataSymbol;
private Symbol _btcSymbol;
private decimal? _lastDemandSupply = null;
public override void Initialize()
{
SetStartDate(2019, 1, 1); //Set Start Date
SetEndDate(2020, 12, 31); //Set End Date
SetCash(100000);
_btcSymbol = AddCrypto("BTCUSD", Resolution.Minute, Market.Bitfinex).Symbol;
// Requesting data
_bitcoinMetadataSymbol = AddData<BitcoinMetadata>(_btcSymbol).Symbol;
// Historical data
var history = History(new[]{_bitcoinMetadataSymbol}, 60, Resolution.Daily);
Debug($"We got {history.Count()} items from our history request for {_btcSymbol} Blockchain Bitcoin Metadata");
}
public override void OnData(Slice slice)
{
// Get data
var data = slice.Get<BitcoinMetadata>();
if (!data.IsNullOrEmpty())
{
var currentDemandSupply = data[_bitcoinMetadataSymbol].NumberofTransactions / data[_bitcoinMetadataSymbol].HashRate;
// comparing the average transaction-to-hash-rate ratio changes, we will buy bitcoin or hold cash
if (_lastDemandSupply != null && currentDemandSupply > _lastDemandSupply)
{
SetHoldings(_btcSymbol, 1);
}
else
{
SetHoldings(_btcSymbol, 0);
}
_lastDemandSupply = currentDemandSupply;
}
}
}
}