| Overall Statistics |
|
Total Trades 2 Average Win 0.02% Average Loss 0% Compounding Annual Return -2.885% Drawdown 21.000% Expectancy 0 Net Profit -4.270% Sharpe Ratio -0.095 Probabilistic Sharpe Ratio 5.379% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0.003 Beta 0.192 Annual Standard Deviation 0.129 Annual Variance 0.017 Information Ratio 0.13 Tracking Error 0.513 Treynor Ratio -0.064 Total Fees $43.99 Estimated Strategy Capacity $77000.00 Lowest Capacity Asset BTCUSD 2S7 |
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from AlgorithmImports import *
class BinanceUSBrokerageExampleAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 1, 1)
self.SetCash(100000)
self.SetBrokerageModel(BrokerageName.BinanceUS, AccountType.Cash)
self.symbol = self.AddCrypto("BTCUSD", Resolution.Minute).Symbol
# Set default order properties
self.DefaultOrderProperties = BinanceOrderProperties()
self.DefaultOrderProperties.TimeInForce = TimeInForce.GoodTilCanceled
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 = BinanceOrderProperties()
order_properties.TimeInForce = TimeInForce.Day
order_properties.PostOnly = True
ticket = self.LimitOrder(self.symbol, -0.5, round(data[self.symbol].Price + 1000, 2), 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 + 100, 2), orderProperties = order_properties)