Overall Statistics |
Total Trades
9
Average Win
0%
Average Loss
0%
Compounding Annual Return
978235.597%
Drawdown
12.100%
Expectancy
0
Net Profit
37.991%
Sharpe Ratio
5.962
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
496.581
Annual Standard Deviation
1.067
Annual Variance
1.139
Information Ratio
5.95
Tracking Error
1.067
Treynor Ratio
0.013
Total Fees
$302.96
|
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); } public override void OnData(Slice data) { Debug("BTC Price is $" + data.Bars["BTCUSD"].Close + " and Buying Power is $" + Portfolio.GetBuyingPower("BTCUSD")); if (Portfolio.GetBuyingPower("BTCUSD") > data.Bars["BTCUSD"].Close) { var ticket = MarketOrder("BTCUSD", 1); if (ticket.Status == OrderStatus.Filled) { var fills = ticket.OrderEvents.Where(orderEvent => orderEvent.Status.IsFill()).ToList(); Debug("Bought! Now have " + Portfolio["BTCUSD"].Quantity + " coins"); cashLeft -= fills.Sum(fill => fill.FillPrice); Debug("Actual Cash Left: " + cashLeft); Debug("Delta Cash (error): " + (Portfolio.GetBuyingPower("BTCUSD") - cashLeft)); Debug(" "); } else { Debug("Failed Fill"); Debug(" "); } } else { Debug("Not enough buying power"); Debug(" "); } } } }