Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
3.086%
Drawdown
2.500%
Expectancy
0
Start Equity
10000000.00
End Equity
10259645
Net Profit
2.596%
Sharpe Ratio
-1.116
Sortino Ratio
-0.357
Probabilistic Sharpe Ratio
38.292%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.033
Beta
-0.005
Annual Standard Deviation
0.03
Annual Variance
0.001
Information Ratio
-0.723
Tracking Error
0.174
Treynor Ratio
6.545
Total Fees
$0.00
Estimated Strategy Capacity
$770000.00
Lowest Capacity Asset
ETHUSD 2XR
Portfolio Turnover
0.06%
Drawdown Recovery
13
 
# region imports
from AlgorithmImports import *
# endregion

class testDataAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self.set_start_date(2025,1, 1)
        self.set_cash(10000000)
        self.add_crypto("ETHUSD", Resolution.MINUTE, Market.COINBASE, fill_forward=False).fill_model = EquityFillModel()
        def place_order():
            data = self.securities["ETHUSD"].get_last_data()
            self.log(f'{data.end_time} :: {data}')
            self.market_order("ETHUSD", -500)
        self.schedule.on(self.date_rules.on(2025,10,12), self.time_rules.at(1,0), place_order)
        self._last_quote = self.start_date

    def on_data(self, slice):
        quote = slice.quote_bars.get("ETHUSD")
        if quote:
            self._last_quote = quote.end_time

    def on_end_of_algorithm(self):
        self.log(f'{self._last_quote=}')