Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 0.309% Drawdown 0.800% Expectancy 0 Net Profit 1.435% Sharpe Ratio 0.244 Probabilistic Sharpe Ratio 0.820% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.004 Beta -0.009 Annual Standard Deviation 0.011 Annual Variance 0 Information Ratio -0.904 Tracking Error 0.177 Treynor Ratio -0.298 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset USDRUB.USDRUB 2S |
class MultidimensionalCalibratedChamber(QCAlgorithm): def Initialize(self): self.SetStartDate(2017, 1, 13) # Set Start Date self.SetCash(100000) # Set Strategy Cash self.AddEquity('SPY', Resolution.Daily) self.symbol = self.AddData(USDRUB, 'USDRUB', Resolution.Daily).Symbol def OnData(self, data): if data.ContainsKey(self.symbol): self.Plot('USDRUB', 'Open', data[self.symbol].Open) self.Plot('USDRUB', 'High', data[self.symbol].High) self.Plot('USDRUB', 'Low', data[self.symbol].Low) self.Plot('USDRUB', 'Close', data[self.symbol].Close) self.Plot('USDRUB', 'Volume', data[self.symbol].Volume) self.Plot('USDRUB', 'PCT_CHANGE', data[self.symbol].GetProperty('pct_change')) if not self.Portfolio.Invested: self.SetHoldings(self.symbol, 1) class USDRUB(PythonData): ''' Weather based rebalancing''' def GetSource(self, config, date, isLive): source = "https://raw.githubusercontent.com/foranpower/qc_CustomData/main/btc5.csv" return SubscriptionDataSource(source, SubscriptionTransportMedium.RemoteFile); def Reader(self, config, line, date, isLive): # If first character is not digit, pass if not (line.strip() and line[0].isdigit()): return None data = line.split(',') usdrub = USDRUB() usdrub.Symbol = config.Symbol usdrub.Time = datetime.strptime(data[0], '%m/%d/%Y') # with or without this following "data[0]" is fine .split(' ')[0] usdrub.Value = float(data[4]) usdrub['Open'] = float(data[1]) usdrub['High'] = float(data[2]) usdrub['Low'] = float(data[3]) usdrub['Close'] = float(data[4]) usdrub['Volume'] = float(data[6]) usdrub['pct_change'] = float(data[5]) return usdrub