Overall Statistics |
Total Trades 2 Average Win 0.49% Average Loss 0% Compounding Annual Return 11.394% Drawdown 15.100% Expectancy 0 Net Profit 10.564% Sharpe Ratio 0.612 Probabilistic Sharpe Ratio 31.660% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha -0.088 Beta 0.203 Annual Standard Deviation 0.143 Annual Variance 0.02 Information Ratio -1.406 Tracking Error 0.554 Treynor Ratio 0.432 Total Fees $23.53 Estimated Strategy Capacity $2200000.00 Lowest Capacity Asset BTCUSD 2MN |
class FTXBrokerageExampleAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2021, 1, 1) self.SetCash(100000) self.SetBrokerageModel(BrokerageName.FTX, AccountType.Margin) self.symbol = self.AddCrypto("BTCUSD", Resolution.Minute).Symbol # Set default order properties self.DefaultOrderProperties = FTXOrderProperties() self.DefaultOrderProperties.TimeInForce = TimeInForce.Day self.DefaultOrderProperties.ReduceOnly = False self.DefaultOrderProperties.PostOnly = False def OnData(self, data): if self.Portfolio.Invested: return # Place an order with the default order properties self.MarketOrder(self.symbol, 1) # Place an order with new order properties order_properties = FTXOrderProperties() order_properties.TimeInForce = TimeInForce.GoodTilCanceled order_properties.ReduceOnly = True order_properties.PostOnly = True ticket = self.LimitOrder(self.symbol, -0.5, round(data[self.symbol].Price + 5000, 0), orderProperties = order_properties) # If we try to call `Update`, an exception is raised # ticket.Update() # Update the order ticket.Cancel() ticket = self.LimitOrder(self.symbol, -0.5, round(data[self.symbol].Price + 1000, 0), orderProperties = order_properties)