| Overall Statistics |
|
Total Orders 17 Average Win 16.04% Average Loss -13.98% Compounding Annual Return 32.098% Drawdown 37.300% Expectancy 0.670 Start Equity 100000 End Equity 164421.95 Net Profit 64.422% Sharpe Ratio 0.696 Sortino Ratio 0.845 Probabilistic Sharpe Ratio 34.537% Loss Rate 22% Win Rate 78% Profit-Loss Ratio 1.15 Alpha 0.193 Beta 0.328 Annual Standard Deviation 0.329 Annual Variance 0.108 Information Ratio 0.355 Tracking Error 0.336 Treynor Ratio 0.699 Total Fees $0.00 Estimated Strategy Capacity $190000.00 Lowest Capacity Asset BTCUSD E3 Portfolio Turnover 1.83% |
# region imports
from AlgorithmImports import *
# endregion
class TrumpFactorOnBitcoinPerformanceAlgorithm(QCAlgorithm):
def initialize(self):
self.set_start_date(2022, 11, 1)
self.set_end_date(2024, 8, 13) # These start/end dates align with the data file
self.set_cash(100_000)
self.add_crypto('BTCUSD', market=Market.BITFINEX)
self._trump_lead = self.add_data(TrumpLead, 'TrumpLead').symbol
def on_data(self, data):
if self._trump_lead in data:
self.set_holdings('BTCUSD', int(data[self._trump_lead].value >= 0))
class TrumpLead(PythonData):
def get_source(self, config, date, is_live_mode):
# Original source: https://www.realclearpolling.com/polls/president/general/2024/trump-vs-harris
return SubscriptionDataSource("https://www.dropbox.com/scl/fi/f87o5azouo09sqecpebw2/parsed_election_data.csv?rlkey=abuch8e53oi8jlgmnt0s58jbj&st=05wgpd6s&dl=1", SubscriptionTransportMedium.REMOTE_FILE)
def reader(self, config, line, date, is_live_mode):
if not line[0].isdigit():
return None
lead = TrumpLead()
lead.symbol = config.symbol
data = line.split(',')
lead.end_time = datetime.fromisoformat(data[0])
lead.value = float(data[2]) - float(data[1]) - float(data[3]) # Lead = Trump - Harris - Biden
return lead