| Overall Statistics |
|
Total Orders 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Start Equity 100000 End Equity 100000 Net Profit 0% Sharpe Ratio 0 Sortino Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio -0.769 Tracking Error 0.174 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset Portfolio Turnover 0% |
from AlgorithmImports import * class CryptoMarketCapUniverseAlgorithm(QCAlgorithm): def initialize(self) -> None: self.set_start_date(2020, 1, 1) self.set_start_date(2020, 3, 1) self.set_account_currency("USD") self._market = Market.COINBASE self._market_pairs = [ x.key.symbol for x in self.symbol_properties_database.get_symbol_properties_list(self._market) if x.value.quote_currency == self.account_currency ] self._universe = self.add_universe(CoinGeckoUniverse, self._select_assets) def _select_assets(self, data: List[CoinGeckoUniverse]) -> List[Symbol]: for datum in data: self.debug(f'{datum.coin},{datum.market_cap},{datum.price}') # Select the coins that our brokerage supports and have a quote currency that matches # our account currency. tradable_coins = [d for d in data if d.coin + self.account_currency in self._market_pairs] # Select the largest coins and create their Symbol objects. return [ c.create_symbol(self._market, self.account_currency) for c in sorted(tradable_coins, key=lambda x: x.market_cap)[-10:] ] # class GeekyLightBrownPigeon(QCAlgorithm): # def initialize(self) -> None: # # Setup # self.set_start_date(2021, 1, 1) # self.set_end_date(2021, 3, 1) # self.set_account_currency("USD") # self.set_cash(100_000) # self.set_brokerage_model(BrokerageName.COINBASE, AccountType.CASH) # # Universe # self.universe_settings.resolution = Resolution.HOUR # self._market = Market.COINBASE # self._market_pairs = [ # x.key.symbol # for x in self.symbol_properties_database.get_symbol_properties_list(self._market) # if x.value.quote_currency == self.account_currency # ] # self.debug(f"Market pairs {self._market_pairs}") # self._universe = self.add_universe(CoinGeckoUniverse, self._select_assets) # # Init # self._data_symbol = {} # def _select_assets(self, data: List[CoinGeckoUniverse]) -> List[Symbol]: # for datum in data: # self.debug(f'{datum.coin},{datum.market_cap},{datum.price}') # # Select the coins that our brokerage supports and have a quote currency that matches # # our account currency. # [self.debug(f"Coin {d.coin}") for d in data] # tradable_coins = [d for d in data if d.coin + self.account_currency in self._market_pairs] # # Select the largest coins and create their Symbol objects. # return [ # c.create_symbol(self._market, self.account_currency) # for c in sorted(tradable_coins, key=lambda x: x.market_cap)[-50:] # ] # # 2 # # selected = sorted(data, key=lambda x: x.market_cap, reverse=True)[:5] # # # Use the CreateSymbol method to generate the Symbol object for # # return [x.create_symbol(Market.BINANCE, "USD") for x in selected] # def on_securities_changed(self, changes): # for security in changes.added_securities: # symbol = security.symbol # if symbol not in self._data_symbol: # self._data_symbol[symbol] = SymbolData(symbol, self) # self.debug("Symbol added {symbol}") # for security in chagnes.removed_securities: # symbol = security.symbol # self.debug("Symbol removed {symbol}") # def on_data(self, data: Slice): # self.debug("Time {self.time}") # for x in self.active_securities.values: # symbol = x.symbol # self.set_holdings(symbol, 0.02) # for x in self._universe: # symbol = x.symbol # self.set_holdings(symbol, 0.02) # symbols = [symbol for symbol in self._universe.selected if self.securities[symbol].price] # for s in symbols: # self.debug(f"Symbol {symbol}") # self.set_holdings(symbol, 0.02) # class SymbolData(object): # def __init__(self, symbol, algo): # self.symbol = symbol # self.algo = algo # history_df = self.algo.history(self.symbol, 30, Resolution.HOUR, flatten=True) # # self.debug(f"history {history_df}")
