Overall Statistics |
Total Trades 344 Average Win 0.16% Average Loss -0.01% Compounding Annual Return 14.094% Drawdown 9.000% Expectancy 5.889 Net Profit 9.212% Sharpe Ratio 2.722 Probabilistic Sharpe Ratio 99.979% Loss Rate 59% Win Rate 41% Profit-Loss Ratio 16.00 Alpha 0.106 Beta -0.042 Annual Standard Deviation 0.035 Annual Variance 0.001 Information Ratio -1.178 Tracking Error 0.115 Treynor Ratio -2.28 Total Fees $0.00 Estimated Strategy Capacity $770000.00 Lowest Capacity Asset ETHUSD XJ |
using System.Collections.Generic; using QuantConnect.Data; using QuantConnect.Indicators; namespace QuantConnect.Algorithm.CSharp { public class CryptoTest : QCAlgorithm { Dictionary<Symbol, MomentumPercent> moms = new Dictionary<Symbol, MomentumPercent>(); string[] symbols = new string[] {"ETHUSD", "BTCUSD"}; public override void Initialize() { SetStartDate(2021, 1, 1); // Set Start Date SetEndDate(2021, 9, 1); // Set Start Date SetCash("USD", 10000); // Set Strategy Cash //etBrokerageModel(Brokerages.BrokerageName.GDAX, AccountType.Cash); foreach (string symbol in symbols) { AddCrypto(symbol, Resolution.Minute); moms[symbol] = MOMP(symbol, 60, Resolution.Minute); } } /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. /// Slice object keyed by symbol containing the stock data public override void OnData(Slice data) { foreach (KeyValuePair<Symbol, MomentumPercent> kvp in moms) { if (data.Bars.ContainsKey(kvp.Key)) { var last_price = data.Bars[kvp.Key].Close; if (kvp.Value < -9) { SetHoldings(kvp.Key, 0.2); } else { Liquidate(kvp.Key); } } } } } }