Overall Statistics
Total Trades
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
-99.869%
Drawdown
15.300%
Expectancy
0
Net Profit
-7.013%
Sharpe Ratio
-5.309
Probabilistic Sharpe Ratio
16.140%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-6.788
Beta
2.421
Annual Standard Deviation
0.652
Annual Variance
0.425
Information Ratio
-8.435
Tracking Error
0.573
Treynor Ratio
-1.431
Total Fees
$0.00
 
class TachyonResistanceProcessor(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 6, 2)
        self.SetEndDate(2019, 6, 5)
        self.SetCash(100000)
        
        self.symbols = [self.AddCrypto(ticker, Resolution.Minute).Symbol    
            for ticker in ['BTCUSD', 'ETHUSD', 'LTCUSD']]


    def OnData(self, data):
        
        if self.Portfolio.Invested:
            return
        
        history = self.History(self.symbols, 10, Resolution.Daily)
        x = history.close.unstack(level=0)
        
        for symbol in self.symbols:
            self.Debug(x[symbol])
            self.SetHoldings(symbol, 1/3)