Overall Statistics
Total Trades
7
Average Win
0%
Average Loss
-17.68%
Compounding Annual Return
-67.750%
Drawdown
47.500%
Expectancy
-1
Net Profit
-37.973%
Sharpe Ratio
-0.91
Probabilistic Sharpe Ratio
0.806%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.488
Beta
0.069
Annual Standard Deviation
0.515
Annual Variance
0.265
Information Ratio
-1.404
Tracking Error
0.531
Treynor Ratio
-6.743
Total Fees
$0.00
Estimated Strategy Capacity
$220000.00
 
class UncoupledCalibratedAntennaArray(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2020,8,1)
        self.SetEndDate(2021,1,1)
        self.SetCash(100000)
        self.AddCrypto('BTCUSD', Resolution.Minute, Market.Bitfinex)
    
    def OnData(self, data):
        symbol = 'BTCUSD'
        
        if not self.Portfolio.Invested:
            self.MarketOrder(symbol, 1, False, str(self.Securities[symbol].Price))
            self.stopMarketTicket = self.StopMarketOrder(symbol, -1, 0.01 * self.Securities[symbol].Close,  str(self.Securities[symbol].Price))

    def OnOrderEvent(self, order_event):
        self.Log(str(order_event))