Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
-3.215
Tracking Error
0.652
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# Simple Moving Average(12) of Simple Moving Average(120)

class MuscularGreenAlbatross(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 9, 1) 
        self.SetEndDate(2021, 10, 7) 
        self.SetCash(100000)  
        self.SetBrokerageModel(BrokerageName.Bitfinex, AccountType.Cash) 
        self.btc = self.AddCrypto("BTCUSD", Resolution.Daily).Symbol
        self.SetBenchmark("BTCUSD")

        length1 = 120
        length2 = 12
        self.SetWarmUp(length1 + length2, Resolution.Daily)

        self.sma1 = self.SMA(self.btc, length1, Resolution.Daily)
        self.sma_sma = IndicatorExtensions.Of(SimpleMovingAverage(length2), self.sma1)

        
    def OnData(self, data):
        
        if self.IsWarmingUp: return
        if not self.sma1.IsReady or not self.sma_sma.IsReady: return
        
        self.Plot("Benchmark", "SMA1", self.sma1.Current.Value)
        self.Plot("Benchmark", "SMA2 of SMA1", self.sma_sma.Current.Value)