Overall Statistics
Total Trades
386
Average Win
13.10%
Average Loss
-4.64%
Compounding Annual Return
168.369%
Drawdown
40.600%
Expectancy
1.025
Net Profit
101204.025%
Sharpe Ratio
2.319
Probabilistic Sharpe Ratio
95.410%
Loss Rate
47%
Win Rate
53%
Profit-Loss Ratio
2.82
Alpha
1.269
Beta
0.277
Annual Standard Deviation
0.56
Annual Variance
0.313
Information Ratio
2.096
Tracking Error
0.569
Treynor Ratio
4.678
Total Fees
$0.00
Estimated Strategy Capacity
$4200000.00
Lowest Capacity Asset
ETHUSD XJ
Portfolio Turnover
11.34%
 
from AlgorithmImports import *

class RetrospectiveYellowGreenAlligator(QCAlgorithm):

    def Initialize(self):
        # INITIALIZE
        self.SetStartDate(2016, 6, 18)
        self.SetEndDate(2023, 6, 19)
        self._cash = 100000
        self.SetCash(self._cash)

        self.ticker = "ETHUSD"
        self.AddCrypto(self.ticker, Resolution.Daily)

        # SET BENCHMARK AND PREPARE COMPARATIVE PLOT
        self.reference_ticker = self.History(self.Symbol(self.ticker), 10, Resolution.Daily)['close']
        self._initialValue_ticker = self.reference_ticker.iloc[0]

        # SET TECHNICAL INDICATORS
        self.Bolband = self.BB(self.ticker, 20, 0.3, MovingAverageType.Simple, Resolution.Daily)
        self.sto = self.STO(self.ticker, 8, 5, 5, Resolution.Daily)

        # Risk management
        self.AddRiskManagement(TrailingStopRiskManagementModel(0.06))
        self.Debug("Stop loss hit")
        self.AddRiskManagement(MaximumDrawdownPercentPerSecurity(0.05))
        self.Debug("Drawdown limit hit")

    def OnData(self, data):
        price = self.Securities[self.ticker].Close
        sto_value = self.sto.Current.Value

        if price > self.Bolband.UpperBand.Current.Value and sto_value > 50:
            self.SetHoldings(self.ticker, 1)
            self.Debug("Long position triggered")

        elif price > self.Bolband.MiddleBand.Current.Value and price < self.Bolband.UpperBand.Current.Value:
            self.Liquidate(self.ticker)
            self.Debug("Trade closed")

        

        self.Plot("Strategy Equity", str(self.ticker), self._cash * self.Securities[self.ticker].Close / self._initialValue_ticker)
        self.Plot("Strategy Equity", 'Portfolio Value', self.Portfolio.TotalPortfolioValue)
        self.Plot("Bollinger", 'BB Lower', self.Bolband.LowerBand.Current.Value)
        self.Plot("Bollinger", 'BB Upper', self.Bolband.UpperBand.Current.Value)
        self.Plot("Bollinger", 'BB Middle', self.Bolband.MiddleBand.Current.Value)
        self.Plot("Bollinger", str(self.ticker), self.Securities[self.ticker].Close)
        self.Plot("Stochastic", "faststoch", self.sto.FastStoch.Current.Value)
        self.Plot("Stochastic", "stochk", self.sto.StochK.Current.Value)
        self.Plot("Stochastic", "stochd", self.sto.StochD.Current.Value)