Overall Statistics |
Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio -0.009 Tracking Error 0.017 Treynor Ratio 0 Total Fees $0.00 |
from Alphas.EmaCrossAlphaModel import EmaCrossAlphaModel from datetime import datetime,timedelta import numpy as np from System.Collections.Generic import List from QuantConnect.Data.UniverseSelection import* from System import * #class ResistanceMultidimensionalReplicator(QCAlgorithm): class ScheduledEventsAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 1, 1) # Set Start Date self.SetEndDate(2020, 6, 22) # Set end date self.SetCash(1000000) # Set Strategy Cash self.forex = self.AddForex("USDCAD", Resolution.Minute, Market.Oanda) self.SetBrokerageModel(BrokerageName.OandaBrokerage) self.EMA8 = self.EMA("USDCAD", 8, MovingAverageType.Simple, Resolution.Minute) self.EMA55 = self.EMA("USDCAD", 55, MovingAverageType.Simple, Resolution.Minute) self.SetBenchmark("USDCAD") self.SetWarmUp(50) self.Schedule.On(self.DateRules.Every(DayOfWeek.Monday), self.TimeRules.At(00,24), self.SpecificTime) def OnData(self, data): if self.IsWarmingUp: return #self.SetHoldings("USDCAD", 50) def SpecificTime(self): if not self.Portfolio.Invested: if self.EMA8.Current.Value>self.EMA55.Current.Value: self.MarketOrder("USDCAD", 100000) self.stopLimitTicket = self.StopLimitOrder("USDCAD", -100000, self.securities["USDCAD"].Close-0.0006, -100000, self.securities["USDCAD"].Close+0.0011) if self.EMA8.Current.Value<self.EMA55.Current.Value: self.MarketOrder("USDCAD", -100000) self.stopLimitTicket = self.StopLimitOrder("USDCAD", 100000, self.securities["USDCAD"].Close+0.0006, 100000, self.securities["USDCAD"].Close-0.0011)