| Overall Statistics |
|
Total Orders 405 Average Win 7.51% Average Loss -1.73% Compounding Annual Return 118.401% Drawdown 32.900% Expectancy 1.543 Start Equity 100000.00 End Equity 4998859.37 Net Profit 4898.859% Sharpe Ratio 2.544 Sortino Ratio 3.322 Probabilistic Sharpe Ratio 99.493% Loss Rate 52% Win Rate 48% Profit-Loss Ratio 4.34 Alpha 0.703 Beta 0.704 Annual Standard Deviation 0.304 Annual Variance 0.093 Information Ratio 2.378 Tracking Error 0.283 Treynor Ratio 1.099 Total Fees $8148.17 Estimated Strategy Capacity $17000000.00 Lowest Capacity Asset TASR S5BXFVIKPX7P Portfolio Turnover 3.62% |
from AlgorithmImports import *
class TopCryptoStrategy(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019, 1,1) # Set Start Date
self.SetEndDate(2024, 1, 1)
self.SetCash(100000) # Set Strategy Cash
# Define the symbols
self.crypto_symbols = ["BTCUSD", "ETHUSD"]
self.stock_symbols = ["AAPL","META", "NVDA","TSM","INTU","BX" "TSLA", "PWR", "NUE","ZM", "NIO", "BRKR", "AXON", "ODFL", "PINS", "EFX","BLDR","ENPH"]
self.SetBenchmark("SPY")
# Attempt to add each cryptocurrency and stock
self.active_symbols = []
for symbol in self.crypto_symbols:
try:
self.AddCrypto(symbol, Resolution.Daily)
self.active_symbols.append(symbol)
except Exception as e:
self.Debug(f"Unable to add symbol: {symbol}. Exception: {e}")
for symbol in self.stock_symbols:
try:
self.AddEquity(symbol, Resolution.Daily)
self.active_symbols.append(symbol)
except Exception as e:
self.Debug(f"Unable to add symbol: {symbol}. Exception: {e}")
# Define the technical indicators
self.supertrend1 = {}
self.supertrend2 = {}
self.rsi = {}
self.ema100 = {}
self.weekly_twap = {}
self.entry_prices = {}
for symbol in self.active_symbols:
self.supertrend1[symbol] = self.STR(symbol, 10, 2.5, MovingAverageType.Wilders)
self.supertrend2[symbol] = self.STR(symbol, 10, 3, MovingAverageType.Wilders)
self.rsi[symbol] = self.RSI(symbol, 10, MovingAverageType.Wilders, Resolution.Daily)
self.ema100[symbol] = self.EMA(symbol, 100, Resolution.Daily)
self.weekly_twap[symbol] = self.WeeklyTwap(symbol, 5)
self.entry_prices[symbol] = None
self.SetWarmUp(100, Resolution.Daily) # Warm up period for 100 days
def WeeklyTwap(self, symbol, num_weeks):
twap = self.SMA(symbol, num_weeks * 5, Resolution.Daily) # Assuming 5 trading days per week
return twap
def OnData(self, data):
if self.IsWarmingUp:
return
for symbol in self.active_symbols:
if not data.Bars.ContainsKey(symbol):
continue
bar = data.Bars[symbol]
# Get current values
current_price = bar.Close
supertrend1 = self.supertrend1[symbol].Current.Value
supertrend2 = self.supertrend2[symbol].Current.Value
rsi = self.rsi[symbol].Current.Value
ema100 = self.ema100[symbol].Current.Value
weekly_twap = self.weekly_twap[symbol].Current.Value
# Define factor based on asset type
factor = 1.2 if symbol in self.crypto_symbols else 1.04
# Entry condition
if self.entry_prices[symbol] is None:
if (current_price > supertrend1 and
current_price > supertrend2 and
rsi > 50 and
current_price > ema100 and
current_price < factor * weekly_twap): # Use appropriate factor
self.Debug(f"{symbol}: Supertrend1={supertrend1}, Supertrend2={supertrend2}, RSI={rsi}, EMA100={ema100}, Weekly TWAP={weekly_twap}")
self.SetHoldings(symbol, 0.2)
self.entry_prices[symbol] = current_price
# Exit condition
elif current_price < supertrend1 and current_price < supertrend2:
self.Liquidate(symbol)
self.entry_prices[symbol] = None