Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
-66.174%
Drawdown
50.600%
Expectancy
0
Start Equity
100000.00
End Equity
52678.25
Net Profit
-47.322%
Sharpe Ratio
-0.962
Sortino Ratio
-1.243
Probabilistic Sharpe Ratio
3.557%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.002
Beta
0.995
Annual Standard Deviation
0.601
Annual Variance
0.362
Information Ratio
0.093
Tracking Error
0.01
Treynor Ratio
-0.582
Total Fees
₮99.75
Estimated Strategy Capacity
₮150000.00
Lowest Capacity Asset
BTCUSDT 2UZ
Portfolio Turnover
0.49%
 
from AlgorithmImports import *

class CoinAPIDataAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2022, 6, 1)
        self.set_end_date(2023, 1, 1)
        self.set_account_currency("USDT", 100000)

        # Bybit accepts both Cash and Margin account types.
        self.set_brokerage_model(BrokerageName.BYBIT, AccountType.MARGIN)

        # Warm up the security with the last known price to avoid conversion error
        self.set_security_initializer(BrokerageModelSecurityInitializer(self.brokerage_model, FuncSecuritySeeder(self.get_last_known_price)))
        
        # Requesting data
        crypto = self.add_crypto("BTCUSDT", Resolution.MINUTE, Market.BYBIT)
        self.btcusdt = crypto.symbol
        self.minimum_order_size = crypto.symbol_properties.minimum_order_size
        
        # Historical data
        history = self.history(self.btcusdt, 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.bybit(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: List[CryptoUniverse]) -> List[Symbol]:
        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['USDT'].amount * (1-self.settings.free_portfolio_value_percentage)
            quantity = free_cash / slice[self.btcusdt].price
            quantity -= quantity % self.minimum_order_size
            if quantity > 0:
                self.market_order(self.btcusdt, quantity)