Overall Statistics
Total Trades
88
Average Win
2.19%
Average Loss
-0.54%
Compounding Annual Return
22.295%
Drawdown
10.300%
Expectancy
2.080
Net Profit
54.279%
Sharpe Ratio
1.424
Probabilistic Sharpe Ratio
71.830%
Loss Rate
40%
Win Rate
60%
Profit-Loss Ratio
4.09
Alpha
0.164
Beta
-0.061
Annual Standard Deviation
0.11
Annual Variance
0.012
Information Ratio
0.088
Tracking Error
0.246
Treynor Ratio
-2.558
Total Fees
$747.58
Estimated Strategy Capacity
$1200000.00
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.bond =  self.AddEquity('IEF', Resolution.Minute).Symbol
        self.rsi = self.RSI(self.crypto, 14, MovingAverageType.Simple, Resolution.Daily)
        self.SetWarmUp(14 + 1, Resolution.Daily)
        

    def OnData(self, data):
        if self.IsWarmingUp: return
        if not self.rsi.IsReady: return

        if not self.Portfolio[self.crypto].Invested and self.rsi.Current.Value >= 72:
            self.SetHoldings(self.crypto, 0.3)
            self.SetHoldings(self.bond, 0.7)
           
        elif self.Portfolio[self.crypto].Invested and self.rsi.Current.Value < 72:
            self.SetHoldings(self.crypto, 0)
            self.SetHoldings(self.bond, 1.0)