| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 134.871% Drawdown 99.900% Expectancy 0 Net Profit 7639.088% Sharpe Ratio 1.904 Probabilistic Sharpe Ratio 74.766% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 1.144 Beta 0.609 Annual Standard Deviation 0.638 Annual Variance 0.406 Information Ratio 1.735 Tracking Error 0.633 Treynor Ratio 1.992 Total Fees $1991.02 Estimated Strategy Capacity $2000.00 Lowest Capacity Asset BTCUSD XJ |
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from QuantConnect.Data.Market import TradeBar
class RollingWindowAlgorithm(QCAlgorithm):
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(2016,1,1) #Set Start Date
self.SetEndDate(2021, 2, 1)
self.SetCash(1000000) #Set Strategy Cash
self.symbol = self.AddCrypto("BTCUSD", Resolution.Minute,Market.GDAX).Symbol
#################################
self.SetBrokerageModel(BrokerageName.AlphaStreams)
#########################################################################################
### ENTRY & EXIT ---------------------------------------------------------------------------------
def OnData(self,data): # Entry
self.Log("Entry")
if not self.Portfolio.Invested:
self.SetHoldings(self.symbol, 1)