Overall Statistics |
Total Trades 4 Average Win 0% Average Loss -5.58% Compounding Annual Return 7.145% Drawdown 8.700% Expectancy -1 Net Profit 7.186% Sharpe Ratio 0.542 Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.14 Beta 12.543 Annual Standard Deviation 0.114 Annual Variance 0.013 Information Ratio 0.402 Tracking Error 0.114 Treynor Ratio 0.005 Total Fees $0.00 |
import numpy as np import decimal ### <summary> ### Basic template algorithm simply initializes the date range and cash. This is a skeleton ### framework you can use for designing an algorithm. ### </summary> class BasicTemplateAlgorithm(QCAlgorithm): '''Basic template algorithm simply initializes the date range and cash''' def Initialize(self): '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.''' self.SetStartDate(2016,1,1) #Set Start Date self.SetEndDate(2017,1,1) #Set End Date self.SetCash(100000) #Set Strategy Cash self.forex = self.AddForex("EURUSD", Resolution.Minute, Market.Oanda) self.CommodityChannelIndex = self.CCI("EURUSD", 8, MovingAverageType.Simple, Resolution.Minute) #self.Debug("numpy test >>> print numpy.pi: " + str(np.pi)) #testing that Numpy module works def OnData(self, data): '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. Arguments: data: Slice object keyed by symbol containing the stock data ''' if not self.CommodityChannelIndex.IsReady: return cci = self.CommodityChannelIndex.Current.Value current = data["EURUSD"].Close if not self.Portfolio.Invested: #need to check spread and only trade during certain times... if 26 <= cci <= 36 and self.Portfolio.Invested <= 0: twoPercent = decimal.Decimal(0.97) #Use 100% of the portfolio to buy curpair #self.Debug(" self.SetHoldings("EURUSD", -1) #Get the current price of curpair stopPrice = self.Securities["EURUSD"].Price * twoPercent #Sell all of the curpair if the price drops below stopprice self.StopMarketOrder("EURUSD", self.Portfolio["EURUSD"].Quantity, stopPrice) if -26 <= cci <= -36 and self.Portfolio.Invested <= 0: twoPercent = decimal.Decimal(1.05) #self.Debug(" self.SetHoldings("EURUSD", 1) stopPrice = self.Securities["EURUSD"].Price * twoPercent self.StopMarketOrder("EURUSD", -self.Portfolio["EURUSD"].Quantity, stopPrice) if self.Portfolio.Invested: if self.Portfolio["EURUSD"].IsLong: if 25 <= cci <= 25: #self.Debug(" self.Liquidate("EURUSD") #self.Debug("Exited Long Position, CCI back to normal ") if self.Portfolio["EURUSD"].IsShort: if -25 <= cci <= -25: #self.Debug(" self.Liquidate("EURUSD") #self.Debug("exited short position, cci back to normal") def OnEndOfDay(self): self.Plot("Indicators", "CCI", self.CommodityChannelIndex.Current.Value)