Overall Statistics
Total Trades
312
Average Win
29.28%
Average Loss
-1.77%
Compounding Annual Return
61.030%
Drawdown
38.100%
Expectancy
7.766
Net Profit
159.983%
Sharpe Ratio
1.014
Probabilistic Sharpe Ratio
31.022%
Loss Rate
50%
Win Rate
50%
Profit-Loss Ratio
16.53
Alpha
0.507
Beta
0.059
Annual Standard Deviation
0.57
Annual Variance
0.324
Information Ratio
-0.752
Tracking Error
0.817
Treynor Ratio
9.787
Total Fees
$4403.77
Estimated Strategy Capacity
$17000.00
Lowest Capacity Asset
MATICUSD 2MN
 
#https://www.quantconnect.com/docs/v2/our-platform/tutorials/live-trading/brokerages/ftx to check

class MovingAverageCrossAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 1)
        self.SetEndDate(2022, 1, 1)
        
        self.SetCash('USD',1000000)
    
        self.SetBrokerageModel(BrokerageName.FTX, AccountType.Cash)

        self.tickers = ["BTCUSD", "ETHUSD", "SOLUSD", "DOGEUSD", "MATICUSD", "XRPUSD", "YFIUSD"]
        self.symbols =  [self.AddCrypto(ticker, Resolution.Minute, Market.FTX).Symbol for ticker in self.tickers]
        
        self.fast = {}
        self.slow = {}
        for symbol in self.symbols:
            self.fast[symbol] = self.SMA(symbol, 20, Resolution.Hour)
            self.slow[symbol] = self.SMA(symbol, 200, Resolution.Hour)
        self.SetWarmUp(200, Resolution.Hour)
        
        self.SetTimeZone("Europe/London")

        #self.SetBrokerageModel(BrokerageName.FTX, AccountType.Cash)

    def OnData(self, data):
        if self.IsWarmingUp: return 
    
        for symbol in self.symbols: 
            holdings = self.Portfolio[symbol].Quantity
            #self.Plot("holdings", symbol, holdings) 

        for symbol in self.symbols:
            if not self.fast[symbol].IsReady: continue
            if not self.slow[symbol].IsReady: continue
            fast = self.fast[symbol].Current.Value
            slow = self.slow[symbol].Current.Value
            #self.Plot(symbol, "fast", fast) 
            #self.Plot(symbol, "slow", slow) 
            
            if fast > slow and self.Portfolio[symbol].Quantity <= 0:
                usdTotal = self.Portfolio.CashBook["USD"].Amount
                usdReserved = sum(x.Quantity * x.LimitPrice for x
                    in [x for x in self.Transactions.GetOpenOrders()
                        if x.Direction == OrderDirection.Buy
                            and x.Type == OrderType.Limit])
                usdAvailable = usdTotal - usdReserved
                self.Debug("usdAvailable: {}".format(usdAvailable))
                limitPrice = self.Securities[symbol].Price
                
                #size for each crypto to be equally weighted
                quantity = (usdAvailable * 1/len(self.tickers))/limitPrice
                
                self.LimitOrder(symbol, quantity, limitPrice)                
                
            elif fast < slow and self.Portfolio[symbol].Quantity > 0: 
                #self.Liquidate(symbol)#, 0.8/len(self.symbols))
                self.SetHoldings(symbol, 0)