Overall Statistics |
Total Trades 3875 Average Win 0.10% Average Loss 0% Compounding Annual Return 11953875552.058% Drawdown 0.200% Expectancy 0 Net Profit 593.340% Sharpe Ratio 56347885.047 Probabilistic Sharpe Ratio 99.294% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 301448846.886 Beta -1.484 Annual Standard Deviation 5.35 Annual Variance 28.62 Information Ratio 56221819.542 Tracking Error 5.362 Treynor Ratio -203184278.389 Total Fees $0.00 Estimated Strategy Capacity $4800.00 |
class VirtualVioletBaboon(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 4, 25) # Set Start Date self.SetStartDate(2020,5, 15) self.SetEndDate(2020,6,1) self.SetCash(100000) # Set Strategy Cash self.crypto = self.AddCrypto('OMGUSD', Resolution.Minute, Market.Bitfinex) def OnData(self, data): '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. Arguments: data: Slice object keyed by symbol containing the stock data ''' symbol = 'OMGUSD' margin = 0.05 if not self.Portfolio[symbol].Invested: quantity = 1000 / data[symbol].Close order = self.MarketOrder(symbol, quantity, False, str(margin*100)) limit = self.LimitOrder(symbol, 0 - quantity , round(data[symbol].Close*(1+margin),5), str(data[symbol].Close)) # if not self.Portfolio.Invested: # self.SetHoldings("SPY", 1) def OnOrderEvent(self, orderEvent): if orderEvent.Status != (OrderStatus.Filled or orderStatus.Liquidated): return self.Debug(orderEvent)