Overall Statistics |
Total Trades 2 Average Win 0.02% Average Loss 0% Compounding Annual Return -2.885% Drawdown 21.000% Expectancy 0 Net Profit -4.270% Sharpe Ratio -0.095 Probabilistic Sharpe Ratio 5.379% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0.003 Beta 0.192 Annual Standard Deviation 0.129 Annual Variance 0.017 Information Ratio 0.13 Tracking Error 0.513 Treynor Ratio -0.064 Total Fees $43.99 Estimated Strategy Capacity $77000.00 Lowest Capacity Asset BTCUSD 2S7 |
/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * * Licensed under the Apache License, Version 2.0 (the "License"); * you may not use this file except in compliance with the License. * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 * * Unless required by applicable law or agreed to in writing, software * distributed under the License is distributed on an "AS IS" BASIS, * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. * See the License for the specific language governing permissions and * limitations under the License. */ using System; using QuantConnect.Brokerages; using QuantConnect.Data; using QuantConnect.Orders; namespace QuantConnect.Algorithm.CSharp { public class BinanceBrokerageExampleAlgorithm : QCAlgorithm { private Symbol _symbol; public override void Initialize() { SetStartDate(2021, 1, 1); SetCash(100000); SetBrokerageModel(BrokerageName.BinanceUS, AccountType.Cash); _symbol = AddCrypto("BTCUSD", Resolution.Minute).Symbol; // Set default order properties DefaultOrderProperties = new BinanceOrderProperties { TimeInForce = TimeInForce.GoodTilCanceled, PostOnly = false }; } public override void OnData(Slice data) { if (Portfolio.Invested) { return; } // Place an order with the default order properties MarketOrder(_symbol, 1); // Place an order with new order properties var orderProperties = new BinanceOrderProperties { TimeInForce = TimeInForce.Day, PostOnly = true }; var ticket = LimitOrder(_symbol, -0.5, Math.Round(data[_symbol].Price + 1000, 2), orderProperties: orderProperties); // If we try to call `Update`, an exception is raised // ticket.Update(...) // Update the order ticket.Cancel(); LimitOrder(_symbol, -0.5, Math.Round(data[_symbol].Price + 100, 2), orderProperties: orderProperties); } } }