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)