Overall Statistics
Total Trades
2
Average Win
0.35%
Average Loss
0%
Compounding Annual Return
11.075%
Drawdown
15.100%
Expectancy
0
Net Profit
10.249%
Sharpe Ratio
0.606
Probabilistic Sharpe Ratio
31.462%
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
-0.083
Beta
0.196
Annual Standard Deviation
0.142
Annual Variance
0.02
Information Ratio
-1.382
Tracking Error
0.561
Treynor Ratio
0.44
Total Fees
$222.14
Estimated Strategy Capacity
$1000000.00
Lowest Capacity Asset
BTCUSD XJ
 
class CoinbaseProBrokerageExampleAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 1, 1)
        self.SetCash(100000)
        
        self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash)
        
        self.symbol = self.AddCrypto("BTCUSD", Resolution.Minute).Symbol
        
        # Set default order properties
        self.DefaultOrderProperties = GDAXOrderProperties()
        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 = GDAXOrderProperties()
        order_properties.PostOnly = True
        ticket = self.LimitOrder(self.symbol, -0.5, round(data[self.symbol].Price + 5000, 2), orderProperties = order_properties)
        
        # If we try to call `Update`, an exception is raised
        # ticket.Update()
        
        # Update the order
        ticket.Cancel()
        self.LimitOrder(self.symbol, -0.5, round(data[self.symbol].Price + 1000, 2), orderProperties = order_properties)