Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 230.534% Drawdown 10.600% Expectancy 0 Net Profit 10.325% Sharpe Ratio 2.148 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -3.299 Beta 313.082 Annual Standard Deviation 0.41 Annual Variance 0.169 Information Ratio 2.116 Tracking Error 0.41 Treynor Ratio 0.003 Total Fees $298.35 |
import numpy as np ### <summary> ### Basic template algorithm simply initializes the date range and cash. This is a skeleton ### framework you can use for designing an algorithm. ### </summary> class BasicTemplateAlgorithm(QCAlgorithm): '''Basic template algorithm simply initializes the date range and cash''' def Initialize(self): '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.''' self.SetStartDate(2019,2,3) #Set Start Date self.SetEndDate(2019,3,4) #Set End Date self.SetCash(100000) #Set Strategy Cash self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash) self.AddCrypto("BTCUSD", Resolution.Hour) def OnData(self, data): '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. Arguments: data: Slice object keyed by symbol containing the stock data ''' if not self.Portfolio.Invested: self.SetHoldings("BTCUSD", 1)