Overall Statistics |
Total Trades 34 Average Win 2.90% Average Loss -3.04% Compounding Annual Return 21.364% Drawdown 17.400% Expectancy 0.150 Net Profit 6.670% Sharpe Ratio 0.752 Probabilistic Sharpe Ratio 41.911% Loss Rate 41% Win Rate 59% Profit-Loss Ratio 0.96 Alpha 0.109 Beta 0.243 Annual Standard Deviation 0.234 Annual Variance 0.055 Information Ratio -0.397 Tracking Error 0.249 Treynor Ratio 0.723 Total Fees $68428.76 Estimated Strategy Capacity $560000.00 |
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(2021,1,1) #Set Start Date self.SetCash(1000000) #Set Strategy Cash self.symbol = self.AddCrypto("BTCUSD", Resolution.Minute,Market.GDAX).Symbol ################################# self.SetBrokerageModel(BrokerageName.AlphaStreams) ##################################################### self.Schedule.On(self.DateRules.Every(DayOfWeek.Monday), self.TimeRules.AfterMarketOpen(self.symbol,1), self.Compra) self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.BeforeMarketClose(self.symbol,1), self.Vende) ######################################################################################### ### ENTRY & EXIT --------------------------------------------------------------------------------- def Compra(self): if not self.Portfolio.Invested: self.SetHoldings(self.symbol, 1) def Vende(self): if self.Portfolio.Invested: self.Liquidate()