Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 86.485% Drawdown 51.300% Expectancy 0 Net Profit 86.792% Sharpe Ratio 1.336 Probabilistic Sharpe Ratio 49.692% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.814 Beta -0.232 Annual Standard Deviation 0.572 Annual Variance 0.327 Information Ratio 0.944 Tracking Error 0.586 Treynor Ratio -3.3 Total Fees $0.27 |
namespace QuantConnect.Algorithm.CSharp { public class VentralTransdimensionalChamber : QCAlgorithm { /* Trading bot that trades with the highest and lowest exchange rate of the last 24 hours. Buying determined bacause the factor and the current price. */ // VARIABELEN DECLAREREN private string _ticker = "ETHBTC"; //virtueel paar - tracks the current USD value of 1 ether. private int _startingCash = 100000; private decimal _weight = .08m; ///Percentage van portfolio dat je wilt investeren // % of portfolio for every trade. private decimal _targetPercent = .01m; //1% winst dan verkopen // Sell when 1% profit private decimal _stopPercent = .10m; //verkopen bij de 10% verlies / Sell when loss is 10% int _maxPosition = 900; // Max USD invested int _minPosition = 750; // min USD needed to invest. public decimal _usd; //Amount of USD in our Cashbook. Maximum _maxExchange; Minimum _minExchange; //PROGRAMMA VARIABELEN public decimal _price; public decimal _holding; //Het aantal Ether we in onze portfolio hebben zitten. public string _baseSymbol; //vertegenwoordigt de basesymbool dat we houden ETH public decimal _targetPrice; public decimal _stopPrice; //INITIALIZE BLOCK public override void Initialize() { SetStartDate(2019, 1, 1); SetEndDate(2020, 1, 1); //SetCash(_startingCash); SetCash("BTC", 10000); var _crypto = AddCrypto(_ticker, Resolution.Minute, Market.Bitfinex); _baseSymbol = _crypto.BaseCurrencySymbol; int _minutesOfTrading = 1140; _maxExchange = MAX(_ticker, _minutesOfTrading, Resolution.Minute); _minExchange = MIN(_ticker, _minutesOfTrading, Resolution.Minute); SetWarmUp(_minutesOfTrading, Resolution.Minute); SetBrokerageModel(BrokerageName.Bitfinex, AccountType.Cash); } public override void OnData(Slice data) { if (!Portfolio.Invested) { MarketOrder("ETHBTC", 1); } } } }