Overall Statistics |
Total Trades 7 Average Win 0% Average Loss 0% Compounding Annual Return -3.860% Drawdown 0.100% Expectancy 0 Net Profit -0.075% Sharpe Ratio -8.97 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.016 Beta -0.787 Annual Standard Deviation 0.003 Annual Variance 0 Information Ratio -13.072 Tracking Error 0.003 Treynor Ratio 0.035 Total Fees $35.00 |
class QuantumMultidimensionalCoreWave(QCAlgorithm): def Initialize(self): self.SetStartDate(2018, 11, 7) # Set Start Date self.SetEndDate(2018,11,13) # Set End Date self.SetCash(100000) # Set Strategy Cash self.AddForex("EURUSD", Resolution.Daily, Market.FXCM) self.Securities["EURUSD"].SetFeeModel(CustomFeeModel()) 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.Portfolio.Invested: self.Buy("EURUSD", 1000) def OnOrderEvent(self, orderEvent): self.Log(orderEvent) self.Log("fee: "+str(orderEvent.OrderFee.Value.Amount)) class CustomFeeModel(FeeModel): def GetOrderFee(self, parameters): # custom fee math fee = max(1, parameters.Order.AbsoluteQuantity * 0.005) return OrderFee(CashAmount(fee, "USD"))