Overall Statistics |
Total Trades 2 Average Win 0.10% Average Loss 0% Compounding Annual Return 1.607% Drawdown 10.200% Expectancy 0 Net Profit 4.724% Sharpe Ratio -0.159 Probabilistic Sharpe Ratio 5.131% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha -0.012 Beta -0.07 Annual Standard Deviation 0.064 Annual Variance 0.004 Information Ratio 0.03 Tracking Error 0.362 Treynor Ratio 0.144 Total Fees â‚®4.03 Estimated Strategy Capacity â‚®39000000.00 Lowest Capacity Asset BTCUSDT 2V3 Portfolio Turnover 0.01% |
# region imports from AlgorithmImports import * # endregion class BybitBrokerageExampleAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2021, 1, 1) self.SetAccountCurrency("USDT", 100_000) self.SetBrokerageModel(BrokerageName.Bybit, AccountType.Margin) self.symbol = self.AddCryptoFuture("BTCUSDT", Resolution.Minute).Symbol # Set default order properties self.DefaultOrderProperties = BybitOrderProperties() self.DefaultOrderProperties.TimeInForce = TimeInForce.GoodTilCanceled self.DefaultOrderProperties.PostOnly = False self.DefaultOrderProperties.ReduceOnly = False def OnData(self, data): if self.Portfolio.Invested: return # Place an order with the default order properties self.MarketOrder(self.symbol, 0.1) # Place an order with new order properties order_properties = BybitOrderProperties() order_properties.TimeInForce = TimeInForce.GoodTilCanceled order_properties.PostOnly = True order_properties.ReduceOnly = False ticket = self.LimitOrder(self.symbol, -0.5, round(data[self.symbol].Price + 5000, 1), orderProperties = order_properties) # Update the order order_fields = UpdateOrderFields() order_fields.Quantity = -0.4 order_fields.LimitPrice = round(data[self.symbol].Price + 1000, 1) order_fields.Tag = "Informative order tag" response = ticket.Update(order_fields) if not self.LiveMode and response.IsSuccess: self.Debug("Order updated successfully")