Overall Statistics |
Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Sortino Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio -0.806 Tracking Error 0.138 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset Portfolio Turnover 0% |
#region imports using System; using System.Collections; using System.Collections.Generic; using System.Linq; using System.Globalization; using System.Drawing; using QuantConnect; using QuantConnect.Algorithm.Framework; using QuantConnect.Algorithm.Framework.Selection; using QuantConnect.Algorithm.Framework.Alphas; using QuantConnect.Algorithm.Framework.Portfolio; using QuantConnect.Algorithm.Framework.Execution; using QuantConnect.Algorithm.Framework.Risk; using QuantConnect.Algorithm.Selection; using QuantConnect.Parameters; using QuantConnect.Benchmarks; using QuantConnect.Brokerages; using QuantConnect.Util; using QuantConnect.Interfaces; using QuantConnect.Algorithm; using QuantConnect.Indicators; using QuantConnect.Data; using QuantConnect.Data.Consolidators; using QuantConnect.Data.Custom; using QuantConnect.DataSource; using QuantConnect.Data.Fundamental; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Notifications; using QuantConnect.Orders; using QuantConnect.Orders.Fees; using QuantConnect.Orders.Fills; using QuantConnect.Orders.Slippage; using QuantConnect.Scheduling; using QuantConnect.Securities; using QuantConnect.Securities.Equity; using QuantConnect.Securities.Future; using QuantConnect.Securities.Option; using QuantConnect.Securities.Forex; using QuantConnect.Securities.Crypto; using QuantConnect.Securities.Interfaces; using QuantConnect.Storage; using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm; using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm; #endregion namespace QuantConnect.Algorithm.CSharp { public class CustomDataBitstampAlgorithm : QCAlgorithm { private Symbol _customDataSymbol; public override void Initialize() { SetStartDate(2012, 9, 13); SetEndDate(2021, 6, 20); if (!ObjectStore.ContainsKey(Bitstamp.KEY)) { var url = "https://raw.githubusercontent.com/QuantConnect/Documentation/master/Resources/datasets/custom-data/bitstampusd.csv"; var content = Download(url); ObjectStore.Save(Bitstamp.KEY, content); } _customDataSymbol = AddData<Bitstamp>("BTC", Resolution.Daily).Symbol; var history = History(_customDataSymbol, 200, Resolution.Daily); Debug($"We got {history.Count()} items from historical data request of {_customDataSymbol}."); } public void OnData(Bitstamp data) { Log($"{data.EndTime}: Close: {data.Close}"); Plot(_customDataSymbol, "Price", data.Close); } public class Bitstamp : TradeBar { public static string KEY = "bitstampusd.csv"; public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode) { return new SubscriptionDataSource(KEY, SubscriptionTransportMedium.ObjectStore); } public decimal WeightedPrice = 0; public decimal VolumeBTC = 0; public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode) { //Example Line Format: //Date Open High Low Close Volume (BTC) Volume (Currency) Weighted Price //2011-09-13 5.8 6.0 5.65 5.97 58.37138238, 346.0973893944 5.929230648356 if (!char.IsDigit(line.Trim()[0])) { return null; } var coin = new Bitstamp() {Symbol = config.Symbol}; var data = line.Split(','); coin.Value = data[4].IfNotNullOrEmpty(s => decimal.Parse(s, NumberStyles.Any, CultureInfo.InvariantCulture)); if (coin.Value == 0) { return null; } coin.Time = DateTime.Parse(data[0], CultureInfo.InvariantCulture); coin.EndTime = coin.Time.AddDays(1); coin.Open = data[1].IfNotNullOrEmpty(s => decimal.Parse(s, NumberStyles.Any, CultureInfo.InvariantCulture)); coin.High = data[2].IfNotNullOrEmpty(s => decimal.Parse(s, NumberStyles.Any, CultureInfo.InvariantCulture)); coin.Low = data[3].IfNotNullOrEmpty(s => decimal.Parse(s, NumberStyles.Any, CultureInfo.InvariantCulture)); coin.VolumeBTC = data[5].IfNotNullOrEmpty(s => decimal.Parse(s, NumberStyles.Any, CultureInfo.InvariantCulture)); coin.Volume = data[6].IfNotNullOrEmpty(s => decimal.Parse(s, NumberStyles.Any, CultureInfo.InvariantCulture)); coin.WeightedPrice = data[7].IfNotNullOrEmpty(s => decimal.Parse(s, NumberStyles.Any, CultureInfo.InvariantCulture)); coin.Close = coin.Value; return coin; } } } }