Mean-reversion and Trend-Following Based on MIN and MAX in BTC

1from AlgorithmImports import *
2# endregion
3
4class MeanreversionandTrendFollowingBasedonMINandMAXinBTC(QCAlgorithm):
5
6def Initialize(self):
7self.SetStartDate(2015, 1, 1)
8self.SetCash(100000)
9
10# NOTE Coinbase Pro, CoinAPI, and Bitfinex data is all set in UTC Time. This means that when accessing data from this brokerage, all data will be time stamped in UTC Time.
11self.crypto:Crypto = self.AddCrypto("BTCUSD", Resolution.Minute, Market.GDAX)
12self.crypto.SetLeverage(10)
13self.crypto.SetFeeModel(CustomFeeModel())
14self.crypto:Symbol = self.crypto.Symbol
15
16self.period:int = 10
17self.daily_prices:RollingWindow = RollingWindow[float](self.period)
18self.daily_close_hour:int = 22
19
20def OnData(self, data):
21if self.crypto in data and data[self.crypto]:
22    time:datetime.datetime = self.Time
23    if time.hour == self.daily_close_hour and time.minute == 0:
24        price:float = data[self.crypto].Value
25        self.daily_prices.Add(price)
26
27        if self.daily_prices.IsReady:
28            daily_prices:list[float] = [x for x in self.daily_prices]
29            daily_max:float = np.max(daily_prices)
30            daily_min:float = np.min(daily_prices)
31
32            # open/rebalance long position
33            if price == daily_max or price == daily_min:
34                self.SetHoldings(self.crypto, 1)
35            else:
36                # close position
37                if self.Portfolio[self.crypto].Invested:
38                    self.Liquidate(self.crypto)
39
40class CustomFeeModel(FeeModel):
41def GetOrderFee(self, parameters):
42fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
43return OrderFee(CashAmount(fee, "USD"))