Overall Statistics |
Total Trades 15 Average Win 0.06% Average Loss -0.14% Compounding Annual Return -0.036% Drawdown 0.300% Expectancy 0.021 Net Profit -0.002% Sharpe Ratio -0.024 Loss Rate 29% Win Rate 71% Profit-Loss Ratio 0.43 Alpha -0.004 Beta -0.007 Annual Standard Deviation 0.009 Annual Variance 0 Information Ratio 3.754 Tracking Error 0.152 Treynor Ratio 0.027 Total Fees $30.00 |
namespace QuantConnect { public class FOREXBasicTemplateAlgorithm : QCAlgorithm { Symbol symbol; int quantity = 1000; public override void Initialize() { SetStartDate(2016, 2, 1); SetEndDate(2016, 2, 15); SetCash(10000); symbol = AddForex("EURUSD", Resolution.Minute).Symbol; } public override void OnData(Slice slice) { if(!Portfolio.Invested) { var filledPrice = slice[symbol].Price; MarketOrder(symbol, quantity, false, "Entry"); LimitOrder(symbol, -quantity, filledPrice + 0.01m, "Profit Target"); StopMarketOrder(symbol, -quantity, filledPrice - 0.01m, "Stop Loss"); } } public override void OnOrderEvent(OrderEvent orderEvent) { Order actualOrder = Transactions.GetOrderById(orderEvent.OrderId); switch (orderEvent.Status) { case OrderStatus.Submitted: Log(actualOrder.ToString()); break; case OrderStatus.Filled: Log("\t => " + orderEvent.ToString()); if (actualOrder.Type != OrderType.Market) { Liquidate(orderEvent.Symbol); } //Liquidate(orderEvent.Symbol); break; case OrderStatus.Canceled: Log("\t => " + orderEvent.ToString() + "\n"); break; default: break; } } } }