| Overall Statistics |
|
Total Trades 156 Average Win 2.82% Average Loss -1.32% Compounding Annual Return 385.679% Drawdown 70.700% Expectancy 0.713 Net Profit 125.489% Sharpe Ratio 6.986 Probabilistic Sharpe Ratio 67.607% Loss Rate 45% Win Rate 55% Profit-Loss Ratio 2.14 Alpha 12.383 Beta 3.069 Annual Standard Deviation 1.876 Annual Variance 3.518 Information Ratio 6.926 Tracking Error 1.858 Treynor Ratio 4.269 Total Fees $0.00 Estimated Strategy Capacity $4600000.00 Lowest Capacity Asset DOGEUSDT 18N Portfolio Turnover 37.54% |
from AlgorithmImports import *
class RetrospectiveYellowGreenAlligator(QCAlgorithm):
def Initialize(self):
# INITIALIZE
self.SetStartDate(2023, 1, 18)
self.SetEndDate(2023, 7, 23)
self._cash = 100000
self.SetCash(self._cash)
self.UniverseSettings.Resolution = Resolution.Daily
self.AddUniverse(CryptoCoarseFundamentalUniverse(Market.Binance, self.UniverseSettings, self.universe_filter))
# SET BENCHMARK AND PREPARE COMPARATIVE PLOT
self.reference_ticker = {}
self._initialValue_ticker = {}
# SET TECHNICAL INDICATORS
self.Bolband = {}
self.sto = {}
# Risk management
self.AddRiskManagement(TrailingStopRiskManagementModel(0.03))
self.Debug("Stop loss hit")
def universe_filter(self, crypto_coarse: List[CryptoCoarseFundamental]) -> List[Symbol]:
return [cf.Symbol for cf in crypto_coarse if cf.VolumeInUsd is not None and cf.VolumeInUsd > 60000000]
def OnData(self, data):
for symbol in data.Keys:
if symbol not in self.reference_ticker:
self.reference_ticker[symbol] = self.History(symbol, 10, Resolution.Daily)['close']
self._initialValue_ticker[symbol] = self.reference_ticker[symbol].iloc[0]
self.Bolband[symbol] = self.BB(symbol, 10, 0.45, MovingAverageType.Simple, Resolution.Daily)
self.sto[symbol] = self.STO(symbol, 8, 5, 5, Resolution.Daily)
price = data[symbol].Close
sto_value = self.sto[symbol].Current.Value
if price > self.Bolband[symbol].UpperBand.Current.Value and sto_value > 80:
self.SetHoldings(symbol, -1)
self.Debug(f"Short position triggered for {symbol}")
elif self.Portfolio[symbol].UnrealizedProfitPercent > 0.1:
self.Liquidate(symbol)
self.Debug(f"Take profit triggered for {symbol}")
else:
self.SetHoldings(symbol, 1)
self.Plot("Strategy Equity", str(symbol), self._cash * self.Securities[symbol].Close / self._initialValue_ticker[symbol])
self.Plot("Strategy Equity", 'Portfolio Value', self.Portfolio.TotalPortfolioValue)
self.Plot("Bollinger", 'BB Lower', self.Bolband[symbol].LowerBand.Current.Value)
self.Plot("Bollinger", 'BB Upper', self.Bolband[symbol].UpperBand.Current.Value)
self.Plot("Bollinger", 'BB Middle', self.Bolband[symbol].MiddleBand.Current.Value)
self.Plot("Bollinger", str(symbol), price)
self.Plot("Stochastic", "faststoch", self.sto[symbol].FastStoch.Current.Value)
self.Plot("Stochastic", "stochk", self.sto[symbol].StochK.Current.Value)
self.Plot("Stochastic", "stochd", self.sto[symbol].StochD.Current.Value)