Overall Statistics
Total Trades
10001
Average Win
0.00%
Average Loss
0.00%
Compounding Annual Return
-0.111%
Drawdown
4.000%
Expectancy
0.331
Net Profit
-0.139%
Sharpe Ratio
-0.002
Probabilistic Sharpe Ratio
8.877%
Loss Rate
85%
Win Rate
15%
Profit-Loss Ratio
8.08
Alpha
-0.005
Beta
-0.068
Annual Standard Deviation
0.038
Annual Variance
0.001
Information Ratio
0.244
Tracking Error
0.324
Treynor Ratio
0.001
Total Fees
$2.25
Estimated Strategy Capacity
$0
Lowest Capacity Asset
USDTUSD 2MN
class CalmLightBrownKitten(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 1, 1)  # Set Start Date
        self.SetEndDate(2021 , 1 , 1)
        self.SetCash(1000)  # Set Strategy Cash
        self.btcusd = self.AddCrypto("USDTUSD", Resolution.Minute , Market.FTX).Symbol
        self.SetBrokerageModel(BrokerageName.FTX, AccountType.Margin)
        self.entryPrice = 0
        self.nextEntryTime = self.Time
        

    def OnData(self, data):
     
     usdt_price = data[self.btcusd].Price
     self.Log(f"Time: {self.Time}; Price: {usdt_price};")
     
     history = self.History(self.btcusd, 30, Resolution.Hour)
     
     
     if not self.Portfolio.Invested:
            if self.nextEntryTime <= self.Time:
             self.Invested = self.SetHoldings(self.btcusd, 1)
             self.Log("BUY USDTUSD @" + str(usdt_price))
             self.entryPrice = usdt_price
     
     
     self.Securities["USDTUSD"].HasData # Security has data
     self.Invested          # Have holdings
     self.LocalTime = self.Time        # Time on the asset exchange
     self.Holdings  = self.SetHoldings(self.btcusd, 1)       # Portfolio object
     self.Exchange  = usdt_price       # Exchange information