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);
                    }
                }
            }
        }
    }
}