Overall Statistics
Total Trades
255
Average Win
3.55%
Average Loss
-2.51%
Compounding Annual Return
7.219%
Drawdown
54.200%
Expectancy
0.018
Net Profit
7.256%
Sharpe Ratio
0.356
Probabilistic Sharpe Ratio
22.161%
Loss Rate
58%
Win Rate
42%
Profit-Loss Ratio
1.42
Alpha
0.157
Beta
-0.065
Annual Standard Deviation
0.529
Annual Variance
0.28
Information Ratio
0.946
Tracking Error
0.706
Treynor Ratio
-2.902
Total Fees
₮24778.77
Estimated Strategy Capacity
₮44000000.00
Lowest Capacity Asset
BTCUSDT 2V3
Portfolio Turnover
80.87%
from AlgorithmImports import *

class BybitCryptoFutureDataAlgorithm(QCAlgorithm):

    def Initialize(self) -> None:
        self.SetStartDate(2022, 1, 1)
        self.SetEndDate(2023, 1, 1)
        self.SetAccountCurrency("USDT", 100000)

        self.SetBrokerageModel(BrokerageName.Bybit, AccountType.Margin)

        crypto_future = self.AddCryptoFuture("BTCUSDT", Resolution.Daily)
        # perpetual futures does not have a filter function
        self.symbol = crypto_future.Symbol

        # Historical data
        history = self.History(self.symbol, 10, Resolution.Daily)
        self.Debug(f"We got {len(history)} from our history request for {self.symbol}")

    def OnData(self, slice: Slice) -> None:

        if self.symbol in slice.MarginInterestRates:
            interest_rate = slice.MarginInterestRates[self.symbol].InterestRate
            self.Log(f"{self.symbol} close at {slice.Time}: {interest_rate}")        

        if not slice.Bars.ContainsKey(self.symbol) or not slice.QuoteBars.ContainsKey(self.symbol):
            return

        quote = slice.QuoteBars[self.symbol]
        price = slice.Bars[self.symbol].Price
        
        if price - quote.Bid.Close > quote.Ask.Close - price:
            self.SetHoldings(self.symbol, -1)
        else:
            self.SetHoldings(self.symbol, 1)