Overall Statistics
Total Trades
322
Average Win
2.53%
Average Loss
-2.12%
Compounding Annual Return
26.276%
Drawdown
42.700%
Expectancy
0.089
Net Profit
22.836%
Sharpe Ratio
0.583
Probabilistic Sharpe Ratio
31.412%
Loss Rate
50%
Win Rate
50%
Profit-Loss Ratio
1.19
Alpha
0.247
Beta
0.021
Annual Standard Deviation
0.429
Annual Variance
0.184
Information Ratio
0.247
Tracking Error
0.44
Treynor Ratio
11.742
Total Fees
$0.00
 
class TachyonVerticalCoil(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 2, 22)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddCrypto("BTCUSD", Resolution.Daily )

    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings("BTCUSD", 1)
        else:
            self.SetHoldings("BTCUSD", 0)