| 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.
*/
using System;
using QuantConnect.Brokerages;
using QuantConnect.Data;
using QuantConnect.Orders;
namespace QuantConnect.Algorithm.CSharp
{
public class BinanceBrokerageExampleAlgorithm : QCAlgorithm
{
private Symbol _symbol;
public override void Initialize()
{
SetStartDate(2021, 1, 1);
SetCash(100000);
SetBrokerageModel(BrokerageName.BinanceUS, AccountType.Cash);
_symbol = AddCrypto("BTCUSD", Resolution.Minute).Symbol;
// Set default order properties
DefaultOrderProperties = new BinanceOrderProperties
{
TimeInForce = TimeInForce.GoodTilCanceled,
PostOnly = false
};
}
public override void OnData(Slice data)
{
if (Portfolio.Invested)
{
return;
}
// Place an order with the default order properties
MarketOrder(_symbol, 1);
// Place an order with new order properties
var orderProperties = new BinanceOrderProperties {
TimeInForce = TimeInForce.Day,
PostOnly = true
};
var ticket = LimitOrder(_symbol, -0.5, Math.Round(data[_symbol].Price + 1000, 2), orderProperties: orderProperties);
// If we try to call `Update`, an exception is raised
// ticket.Update(...)
// Update the order
ticket.Cancel();
LimitOrder(_symbol, -0.5, Math.Round(data[_symbol].Price + 100, 2), orderProperties: orderProperties);
}
}
}