| Overall Statistics |
|
Total Trades 51 Average Win 25.37% Average Loss -6.29% Compounding Annual Return 643.472% Drawdown 33.200% Expectancy 1.416 Net Profit 647.569% Sharpe Ratio 6.286 Probabilistic Sharpe Ratio 98.156% Loss Rate 52% Win Rate 48% Profit-Loss Ratio 4.03 Alpha -0.38 Beta 0.883 Annual Standard Deviation 0.562 Annual Variance 0.315 Information Ratio -4.239 Tracking Error 0.212 Treynor Ratio 3.998 Total Fees $165.01 Estimated Strategy Capacity $370000.00 Lowest Capacity Asset BTCUSD 2MN |
class CalmLightBrownKitten(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 4, 1)
self.SetEndDate(2021, 4 , 1)
self.SetCash(1000)
self.crypto = self.AddCrypto("BTCUSD", Resolution.Minute, Market.FTX).Symbol
self.SetBrokerageModel(BrokerageName.FTX, AccountType.Margin)
self.entryPrice = 0
self.roc = self.ROC(self.crypto, 6, Resolution.Hour)
def OnData(self, data):
if self.Time.minute != 1: return
price = self.Securities[self.crypto].Price
if not self.Portfolio[self.crypto].Invested:
if self.roc.Current.Value < -0.01:
self.SetHoldings(self.crypto, 0.99)
self.entryPrice = price
elif self.Portfolio[self.crypto].Invested:
if price < self.entryPrice * 0.95:
self.Liquidate(self.crypto, "Stop Loss")
self.entryPrice = 0
elif price >= self.entryPrice * 1.25:
self.Liquidate(self.crypto, "Take Profit")
self.entryPrice = 0