| Overall Statistics |
|
Total Trades 9952 Average Win 0.17% Average Loss -0.14% Compounding Annual Return 144.674% Drawdown 28.700% Expectancy 0.043 Net Profit 64.465% Sharpe Ratio 2.705 Probabilistic Sharpe Ratio 78.014% Loss Rate 54% Win Rate 46% Profit-Loss Ratio 1.25 Alpha 0.988 Beta 0.212 Annual Standard Deviation 0.385 Annual Variance 0.148 Information Ratio 1.998 Tracking Error 0.395 Treynor Ratio 4.91 Total Fees $0.00 Estimated Strategy Capacity $52000.00 Lowest Capacity Asset BTCUSD XJ Portfolio Turnover 8413.09% |
from AlgorithmImports import *
class RetrospectiveYellowGreenAlligator(QCAlgorithm):
def Initialize(self):
# INITIALIZE
self.SetStartDate(2023, 1, 1)
self.SetEndDate(2023, 7, 23)
self._cash = 100000
self.SetCash(self._cash)
self.ticker = "BTCUSD"
self.AddCrypto(self.ticker, Resolution.Minute, Market.GDAX).Symbol
# SET BENCHMARK AND PREPARE COMPARATIVE PLOT
self.reference_ticker = self.History(self.Symbol(self.ticker), 10, Resolution.Minute)['close']
self._initialValue_ticker = self.reference_ticker.iloc[0]
# SET Candlestick patterns
self.hammer = self.CandlestickPatterns.Hammer(self.ticker, Resolution.Minute)
self.hangingman = self.CandlestickPatterns.HangingMan(self.ticker, Resolution.Minute)
# Risk management
self.AddRiskManagement(TrailingStopRiskManagementModel(0.03))
self.Debug("Stop loss hit")
self.AddRiskManagement(MaximumDrawdownPercentPerSecurity(0.05))
self.Debug("Drawdown limit hit")
def OnData(self, data):
price = self.Securities[self.ticker].Close
if self.hangingman.Current.Value == -1:
self.SetHoldings(self.ticker, -1)
self.Debug("Hanging man candle")
if self.hammer.Current.Value == 1:
self.SetHoldings(self.ticker, 1)
self.Debug("Hammer candle")
elif self.Portfolio[self.ticker].UnrealizedProfitPercent > 0.05:
self.Liquidate(self.ticker)
self.Debug("Take profit triggered")
self.Plot("Strategy Equity", str(self.ticker), self._cash * self.Securities[self.ticker].Close / self._initialValue_ticker)
self.Plot("Strategy Equity", 'Portfolio Value', self.Portfolio.TotalPortfolioValue)
self.Plot("Hammer", "value", self.hammer.Current.Value)
self.Plot("HangingMan", "hangingman", self.hangingman.Current.Value)