Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
139.121%
Drawdown
42.800%
Expectancy
0
Start Equity
100000.00
End Equity
240170.62
Net Profit
140.171%
Sharpe Ratio
3.098
Sortino Ratio
4.067
Probabilistic Sharpe Ratio
79.219%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-1.045
Beta
0.75
Annual Standard Deviation
0.556
Annual Variance
0.309
Information Ratio
-9.795
Tracking Error
0.201
Treynor Ratio
2.298
Total Fees
$399.00
Estimated Strategy Capacity
$130000.00
Lowest Capacity Asset
BTCUSD 2XR
Portfolio Turnover
0.13%
 
from AlgorithmImports import *
from QuantConnect.DataSource import *
from QuantConnect.Data.UniverseSelection import *

class CoinAPIDataAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2020, 6, 1)
        self.set_end_date(2021, 6, 1)
        self.set_cash(100000)
        self.universe_settings.asynchronous = True
        # Coinbase accepts Cash account type only, AccountType.MARGIN will result in an exception.
        self.set_brokerage_model(BrokerageName.COINBASE, AccountType.CASH)

        # Warm up the security with the last known price to avoid conversion error
        self.set_security_initializer(lambda security: security.set_market_price(self.get_last_known_price(security)))

        # Requesting data
        crypto = self.add_crypto("BTCUSD", Resolution.MINUTE, Market.COINBASE)
        self.btcusd = crypto.symbol
        self.minimum_order_size = crypto.symbol_properties.minimum_order_size
        self.threshold = 0.5
        
        # Historical data
        history = self.history(self.btcusd, 30, Resolution.DAILY)
        self.debug(f"We got {len(history)} items from our history request")

        # Add Crypto Universe Selection
        self._universe = self.add_universe(CryptoUniverse.coinbase(self.universe_selection_filter))

        # Historical Universe data
        universe_history = self.history(self._universe, 30, Resolution.DAILY)
        self.debug(f"We got {len(universe_history)} items from our universe history request")
        for (univere_symbool, time), universe_day in universe_history.items():
            for universe_item in universe_day:
                self.debug(f"{universe_item.symbol} price at {universe_item.end_time}: {universe_item.close}")

    def universe_selection_filter(self, universe_day):
        return [universe_item.symbol for universe_item in universe_day
                if universe_item.volume >= 100 
                and universe_item.volume_in_usd > 10000]

    def on_data(self, slice: Slice) -> None:
        if self.portfolio.cash_book['BTC'].amount == 0:
            free_cash = self.portfolio.cash_book['USD'].amount * (1-self.settings.free_portfolio_value_percentage)
            quantity = self.threshold*free_cash / slice[self.btcusd].price
            quantity -= quantity % self.minimum_order_size
            if quantity > 0:
                self.market_order(self.btcusd, quantity)