| Overall Statistics |
|
Total Trades 52 Average Win 0.05% Average Loss -0.01% Compounding Annual Return 0.940% Drawdown 0.200% Expectancy 6.348 Net Profit 0.992% Sharpe Ratio 2.198 Probabilistic Sharpe Ratio 95.948% Loss Rate 19% Win Rate 81% Profit-Loss Ratio 8.10 Alpha 0.006 Beta 0 Annual Standard Deviation 0.003 Annual Variance 0 Information Ratio -0.66 Tracking Error 0.124 Treynor Ratio 22.771 Total Fees $0.00 Estimated Strategy Capacity $380000.00 Lowest Capacity Asset USDTUSD 2MN |
#if self.entryPrice * 0.01 <= usdt_price:
# --------------------------
CRYPTO = "USDTUSD"; BAR = 5;
# --------------------------
class CryptoConsolidator(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 4, 1)
self.SetEndDate(2022, 4, 20)
self.SetCash(1000)
self.crypto = self.AddCrypto(CRYPTO, Resolution.Minute,Market.FTX).Symbol
self.Consolidate(self.crypto, timedelta(minutes = BAR), self.BarHandler)
self.entryPrice = 0
self.nextEntryTime = self.Time
self.period = timedelta(minutes = BAR)
def BarHandler(self, consolidated):
self.Plot("USDTUSD", self.crypto, self.Securities[self.crypto].Price)
def OnData(self, data):
hist = self.History(self.crypto , timedelta(BAR), Resolution.Hour)#365
low = min(hist["low"])
high = max(hist["high"])
if self.IsWarmingUp or not (self.nextEntryTime <= self.Time): return
price = float(self.Securities[self.crypto].Close)
if not self.Portfolio[self.crypto].Invested:
if price < low :
self.SetHoldings(self.crypto, 1.00)
#self.entryPrice = price
elif self.Portfolio[self.crypto].Invested:
if price >= high :
self.Liquidate(self.crypto, "Take Profit")
#self.entryPrice = price
self.nextEntryTime = self.Time + self.period