| Overall Statistics |
|
Total Trades 487 Average Win 5.34% Average Loss -1.12% Compounding Annual Return 38.908% Drawdown 19.400% Expectancy 0.284 Net Profit 103.066% Sharpe Ratio 1.452 Probabilistic Sharpe Ratio 68.913% Loss Rate 78% Win Rate 22% Profit-Loss Ratio 4.78 Alpha 0.248 Beta 0.231 Annual Standard Deviation 0.193 Annual Variance 0.037 Information Ratio 0.572 Tracking Error 0.246 Treynor Ratio 1.209 Total Fees $0.00 Estimated Strategy Capacity $920000.00 Lowest Capacity Asset BTCBUSD 18N |
class RetrospectiveMagentaAlbatross(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 1, 1)
self.SetCash(1000000)
self.crypto = self.AddCrypto("BTCBUSD", Resolution.Minute, Market.Binance).Symbol
self.rsi = self.RSI(self.crypto, 14, MovingAverageType.Simple, Resolution.Daily)
self.SetWarmUp(14 + 1, Resolution.Daily)
self.threshold = 0.72
self.StopLoss = -0.01
self.ProfitTarget = 0.05
def OnData(self, data):
if self.IsWarmingUp: return
if not self.rsi.IsReady: return
pnl = self.Portfolio[self.crypto].UnrealizedProfit / self.Portfolio.TotalPortfolioValue
if not self.Portfolio[self.crypto].Invested:
if self.rsi.Current.Value >= self.threshold:
self.SetHoldings(self.crypto, 0.3)
elif self.Portfolio[self.crypto].Invested:
if self.rsi.Current.Value < self.threshold:
self.Liquidate(self.crypto, "RSI less than threshold")
elif pnl >= self.ProfitTarget:
self.Liquidate(self.crypto, "Took profit")
elif pnl < self.StopLoss:
self.Liquidate(self.crypto, "Took loss")
else:
return