Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
2.528%
Drawdown
1.000%
Expectancy
0
Start Equity
100000.00
End Equity
100838.32
Net Profit
0.838%
Sharpe Ratio
-2.559
Sortino Ratio
-3.599
Probabilistic Sharpe Ratio
56.284%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.069
Beta
0.03
Annual Standard Deviation
0.014
Annual Variance
0
Information Ratio
-2.39
Tracking Error
0.465
Treynor Ratio
-1.248
Total Fees
$0.25
Estimated Strategy Capacity
$5200000.00
Lowest Capacity Asset
ETHUSD 38Z
Portfolio Turnover
0.02%
Drawdown Recovery
23
 
# region imports
from AlgorithmImports import *
# endregion
class CryptoExampleAlgorithm(QCAlgorithm):
    _ticket = None
    def initialize(self):
        self.set_start_date(2024, 9, 1)
        self.set_end_date(2024, 12, 31)
        self.set_account_currency("USD")
        self.set_brokerage_model(BrokerageName.DYDX, AccountType.MARGIN)
        self._asset = self.add_crypto_future("ETHUSD", Resolution.MINUTE)
        self.set_benchmark(self._asset)
    def on_data(self, slice):
        if self._ticket:
            return
        self._ticket = self.limit_order(self._asset, 1, self._asset.price * .99, tag=f'{self._asset.price=}')