Overall Statistics
Total Trades
3
Average Win
0%
Average Loss
-2.03%
Compounding Annual Return
-42.669%
Drawdown
4.100%
Expectancy
-1
Net Profit
-4.028%
Sharpe Ratio
-2.939
Probabilistic Sharpe Ratio
0.396%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.161
Beta
-0.117
Annual Standard Deviation
0.067
Annual Variance
0.004
Information Ratio
-2.434
Tracking Error
0.203
Treynor Ratio
1.669
Total Fees
$3000.00
 
class Test(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2020, 9, 15)
        self.SetCash(100000)
        
        security = self.AddFuture(Futures.Currencies.BTC, Resolution.Minute)
        self.SetSecurityInitializer(self.CustomSecurityInitializer)
        
    def CustomSecurityInitializer(self, security):
        security.SetFeeModel(CustomFeeModel())
        
        
    def OnData(self, slice):
        if self.Portfolio.Invested:
            return
        
        for chain in slice.FutureChains:
            for i in chain.Value:
                self.MarketOrder(i.Symbol, 1)
                return
        
class CustomFeeModel(FeeModel):
    
    def GetOrderFee(self, parameters):
        return OrderFee(CashAmount(1000, "USD"))