Overall Statistics |
Total Orders 1 Average Win 0% Average Loss 0% Compounding Annual Return -66.309% Drawdown 50.600% Expectancy 0 Net Profit -47.322% Sharpe Ratio -0.963 Sortino Ratio -1.247 Probabilistic Sharpe Ratio 3.571% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.002 Beta 0.995 Annual Standard Deviation 0.603 Annual Variance 0.363 Information Ratio 0.093 Tracking Error 0.01 Treynor Ratio -0.583 Total Fees â‚®99.75 Estimated Strategy Capacity â‚®150000.00 Lowest Capacity Asset BTCUSDT 2UZ Portfolio Turnover 0.49% |
#region imports using System; using System.Collections; using System.Collections.Generic; using System.Linq; using System.Globalization; using System.Drawing; using QuantConnect; using System.Text.RegularExpressions; 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 { public class CoinAPIDataAlgorithm : QCAlgorithm { private Symbol _btcusdt; private decimal? _minimumOrderSize; public override void Initialize() { SetStartDate(2022, 6, 1); SetEndDate(2023, 1, 1); SetAccountCurrency("USDT", 100000); // Bybit accepts both Cash and Margin account types. SetBrokerageModel(BrokerageName.Bybit, AccountType.Margin); // Warm up the security with the last known price to avoid conversion error SetSecurityInitializer(new BrokerageModelSecurityInitializer(BrokerageModel, new FuncSecuritySeeder(GetLastKnownPrice))); // Requesting data var crypto = AddCrypto("BTCUSDT", Resolution.Minute, Market.Bybit); _btcusdt = crypto.Symbol; _minimumOrderSize = crypto.SymbolProperties.MinimumOrderSize; // Historical data var history = History(_btcusdt, 30, Resolution.Daily); Debug($"We got {history.Count()} items from our history request"); } public override void OnData(Slice slice) { if (Portfolio.CashBook["BTC"].Amount == 0) { var freeCash = Portfolio.CashBook["USDT"].Amount * (1-Settings.FreePortfolioValuePercentage); var quantity = freeCash / slice[_btcusdt].Price; quantity -= quantity % _minimumOrderSize; if (quantity > 0m) { MarketOrder(_btcusdt, quantity); } } } } }