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 -0.486 Tracking Error 0.166 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset |
from AlgorithmImports import * class EMAMomentumUniverse(QCAlgorithm): def Initialize(self): self.SetStartDate(2007, 2, 20) self.SetEndDate(2022, 3, 3) self.SetCash(100000) self.is_invested = None self.quantity1 = 0 self.quantity2 = 0 self.data = None self.pares = ['EURAUD','EURCAD'] self.asset1 = self.AddForex(self.pares[0], Resolution.Hour, Market.Oanda).Symbol self.asset2 = self.AddForex(self.pares[1], Resolution.Hour, Market.Oanda).Symbol self.SetSecurityInitializer(lambda security: security.SetFeeModel(ConstantFeeModel(0))) def OnData(self, data): if self.IsWarmingUp: return if self.is_invested is True: return quantity1 = self.CalculateOrderQuantity(self.asset1, 1) quantity2 = self.CalculateOrderQuantity(self.asset2, 1) quantity1_1 = self.Portfolio.Cash / self.Securities[self.asset1].Price self.Debug('Asset1: '+str(self.Securities[self.asset1].Price)) self.Debug('Asset2: '+str(self.Securities[self.asset2].Price)) self.Debug('Quantity1: '+str(quantity1)) self.Debug('Quantity2: '+str(quantity2)) self.Debug('Quantity1_1: '+str(quantity1_1)) self.is_invested = True