| Overall Statistics |
|
Total Trades 2 Average Win 0% Average Loss 0% Compounding Annual Return 146.035% Drawdown 84.000% Expectancy 0 Net Profit 17472.592% Sharpe Ratio 2.024 Probabilistic Sharpe Ratio 81.546% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0.624 Annual Variance 0.389 Information Ratio 2.024 Tracking Error 0.624 Treynor Ratio 0 Total Fees $1.99 Estimated Strategy Capacity $480.00 |
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from QuantConnect.Data.Market import TradeBar
class RollingWindowAlgorithm(QCAlgorithm):
def Initialize(self):
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
self.SetStartDate(2015,8,1) #Set Start Date
#self.SetEndDate(2013,11,1) #Set End Date
self.SetCash(1000) #Set Strategy Cash
self.benchmarkTicker = "BTCUSD"
self.SetBenchmark(self.benchmarkTicker)
self.symbols =['BTCUSD']
for symbol in self.symbols:
self.AddCrypto(symbol, Resolution.Hour, Market.GDAX)
self.SetBrokerageModel(BrokerageName.AlphaStreams)
##########################################################################################################################
##########################################################################################################################
def OnData(self, data):
self.SetHoldings('BTCUSD', 1 )