Overall Statistics |
Total Trades 2 Average Win 0% Average Loss 0% Compounding Annual Return 44.096% Drawdown 41.700% Expectancy 0 Net Profit 40.493% Sharpe Ratio 0.923 Probabilistic Sharpe Ratio 39.440% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.145 Beta 0.661 Annual Standard Deviation 0.461 Annual Variance 0.213 Information Ratio -1.815 Tracking Error 0.241 Treynor Ratio 0.644 Total Fees $122.73 Estimated Strategy Capacity $290000.00 Lowest Capacity Asset BTCUSD 10B |
class KrakenBrokerageExampleAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2021, 1, 1) self.SetCash(100000) self.SetBrokerageModel(BrokerageName.Kraken, AccountType.Cash) self.symbol = self.AddCrypto("BTCUSD", Resolution.Minute).Symbol # Set default order properites self.DefaultOrderProperties = KrakenOrderProperties() self.DefaultOrderProperties.TimeInForce = TimeInForce.GoodTilCanceled self.DefaultOrderProperties.PostOnly = False self.DefaultOrderProperties.FeeInBase = False self.DefaultOrderProperties.FeeInQuote = True self.DefaultOrderProperties.NoMarketPriceProtection = True def OnData(self, data): if self.Portfolio.Invested: return # Place an order with the default order properties self.LimitOrder(self.symbol, 1, round(data[self.symbol].Price + 100, 1)) # Place an order and with new order properties order_properties = KrakenOrderProperties() order_properties.PostOnly = True order_properties.FeeInBase = True order_properties.FeeInQuote = False order_properties.NoMarketPriceProtection = False ticket = self.LimitOrder(self.symbol, 1, round(data[self.symbol].Price * .9, 1), orderProperties = order_properties) # If we try to call `Update`, an exception is raised # ticket.Update() # Update the order ticket.Cancel() order_properties.ConditionalOrder = MarketOrder(self.symbol, -1) self.LimitOrder(self.symbol, 1, round(data[self.symbol].Price * .99, 1), orderProperties = order_properties) def OnOrderEvent(self, order_event): if order_event.Status == OrderStatus.Filled: self.Debug(f"Order fee: {order_event.OrderFee}") # The fees are paid in different currencies if we flip FeeInBase and FeeInQuote