Overall Statistics
Total Trades
289
Average Win
0.34%
Average Loss
-0.36%
Compounding Annual Return
-6.432%
Drawdown
20.700%
Expectancy
0.072
Net Profit
-0.633%
Sharpe Ratio
0.23
Probabilistic Sharpe Ratio
39.577%
Loss Rate
45%
Win Rate
55%
Profit-Loss Ratio
0.95
Alpha
-0.739
Beta
3.311
Annual Standard Deviation
0.609
Annual Variance
0.371
Information Ratio
-0.221
Tracking Error
0.566
Treynor Ratio
0.042
Total Fees
$0.00
Estimated Strategy Capacity
$1800000.00
Lowest Capacity Asset
EURNZD 8G
class HyperActiveApricotFalcon(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 6, 27)
        self.SetEndDate(2021, 7, 31)
        self.SetCash(100000) 
        self.pair = 'EURNZD'
        self.forex = self.AddForex(self.pair, Resolution.Minute, Market.Oanda).Symbol
        self.quantity = 100000
        
        # Set Take Profit and Stop Loss Here
        self.tp = 0.002
        self.sl = 0.0015
        
        # Long / Short - True = Live
        self.Long = True
        self.Short = False
        
        # Indicators
        self.rsi = RelativeStrengthIndex(14, MovingAverageType.Wilders)
        self.macdfiveminute = MovingAverageConvergenceDivergence(12, 26, 9, MovingAverageType.Exponential)
        self.macdonehour = self.MACD(self.forex, 12, 26, 9, MovingAverageType.Exponential, Resolution.Hour)
        self.atr = AverageTrueRange(14, MovingAverageType.Wilders)
        self.emafast = ExponentialMovingAverage(9)
        self.emaslow = ExponentialMovingAverage(50)
        self.stc = SchaffTrendCycle( 10, 23, 50, MovingAverageType.Exponential)
        
        # One Hour Consolidator and Indicator Registrations
        oneHourConsolidator = QuoteBarConsolidator(timedelta(minutes=60))
        oneHourConsolidator.DataConsolidated += self.OneHourBarHandler
        self.SubscriptionManager.AddConsolidator(self.pair, oneHourConsolidator)
        
        # Five Minute Consolidator and Indicator Registrations
        fiveMinuteConsolidator = QuoteBarConsolidator(timedelta(minutes=5))
        fiveMinuteConsolidator.DataConsolidated += self.FiveMinuteBarHandler
        self.SubscriptionManager.AddConsolidator(self.pair, fiveMinuteConsolidator)
        self.RegisterIndicator(self.pair, self.rsi, fiveMinuteConsolidator)
        self.RegisterIndicator(self.pair, self.atr, fiveMinuteConsolidator)
        self.RegisterIndicator(self.pair, self.macdfiveminute, fiveMinuteConsolidator)
        self.RegisterIndicator(self.pair, self.emafast, fiveMinuteConsolidator)
        self.RegisterIndicator(self.pair, self.emaslow, fiveMinuteConsolidator)
        self.RegisterIndicator(self.pair, self.stc, fiveMinuteConsolidator)
        
        self.macdLastHourWindow = RollingWindow[float](2)
        self.macdHourSignal = RollingWindow[float](2)
        
        self.Schedule.On(self.DateRules.Every(DayOfWeek.Friday), self.TimeRules.BeforeMarketClose(self.pair), self.WeekendLiquidation)
        
        self.fiveminbaropen = 0
        self.SetWarmUp(50)
        self.lastfiveminutemacdvalues = []
        self.lastonehourmacdvalues = []
        
        self.macdLastFiveBar = None
        
    def OneHourBarHandler(self, sender, consolidated):
        self.macdLastHourWindow.Add(self.macdonehour.Current.Value)
        self.macdHourSignal.Add(self.macdonehour.Signal.Current.Value)
        
    def FiveMinuteBarHandler(self, sender, consolidated):
        if not self.macdonehour.IsReady:
            return
            
        if self.macdLastFiveBar == None or self.macdLastHourWindow.Count <= 1:
            self.macdLastFiveBar = self.macdfiveminute.Current.Value
            return
        
        # Bar Values 
        Close = (consolidated.Bid.Close+consolidated.Ask.Close)/2
        Open = (consolidated.Bid.Open+consolidated.Ask.Open)/2
        Low = (consolidated.Bid.Low+consolidated.Ask.Low)/2
        High = (consolidated.Bid.High+consolidated.Ask.High)/2
        Price = consolidated.Price
        
        # Indicator Shortcuts
        emaFast = self.emafast.Current.Value
        emaSlow = self.emaslow.Current.Value
        rsiValue = self.rsi.Current.Value
        macdFive = self.macdfiveminute.Current.Value
        
        # Entry Long
        if self.Long and Close > emaFast and Open > emaFast and Close < Open and emaSlow < emaFast and rsiValue < 63 and rsiValue > 55:
            self.GoLong(Close)
                                            
        # Entry Short
        elif self.Short and Close < emaFast and Open < emaFast and Close > Open and emaSlow > emaFast and rsiValue > 38 and rsiValue < 45:
            self.GoShort(Close)
            
        # Record MACD values to compare at next datapoint
        self.macdLastFiveBar = self.macdfiveminute.Current.Value
        
        # Order Tickets
        self.entryTicket = None
        self.SLTicket = None
        self.TPTicket = None
    
    ''' LONG STRATEGY ''' 
    def GoLong(self, Close):
        FiveMACDdifference = self.macdfiveminute.Current.Value - self.macdfiveminute.Signal.Current.Value
        HourMACDdifference = self.macdLastHourWindow[0] - self.macdHourSignal[0]
        if self.entryTicket == None and self.macdfiveminute.Current.Value > .00005:
            if self.macdfiveminute.Current.Value > self.macdLastFiveBar and self.macdLastHourWindow[0] > self.macdLastHourWindow[self.macdLastHourWindow.Count-1]:
                if self.atr.Current.Value > .00025 and self.stc.Current.Value > 74 and FiveMACDdifference > 0 and HourMACDdifference > -.0001:
                    self.MadeEntry()
                    self.BuyPrice = Close
                    self.SLPrice = self.BuyPrice - .0015
                    self.TPPrice = self.BuyPrice + .002
                    self.entryTicket = self.LimitOrder(self.pair, self.quantity, self.BuyPrice, str(self.macdfiveminute.Current.Value) + " " + str(self.macdLastFiveBar))
                    # Enter Stop Loss Order
                    self.SLTicket = self.StopMarketOrder( self.pair, -self.quantity, self.SLPrice)
                    # Enter Take Profit Order
                    self.TPTicket = self.LimitOrder( self.pair, -self.quantity, self.TPPrice)
                else:
                    self.NoEntry()
    
    ''' SHORT STRATEGY '''
    def GoShort(self, Close):
        FiveMACDdifference = self.macdfiveminute.Current.Value - self.macdfiveminute.Signal.Current.Value
        HourMACDdifference = self.macdonehour.Current.Value - self.macdonehour.Signal.Current.Value
        if self.entryTicket == None and self.macdfiveminute.Current.Value < -.00005:
            if self.macdfiveminute.Current.Value < self.macdLastFiveBar and self.macdonehour.Current.Value < self.macdLastHourWindow[self.macdLastHourWindow.Count-1]:
                if self.atr.Current.Value > .00025 and self.stc.Current.Value < 20 and FiveMACDdifference < 0 and HourMACDdifference < .0001:
                    self.MadeEntry()
                    self.BuyPrice = Close
                    self.SLPrice = self.BuyPrice + .0015
                    self.TPPrice = self.BuyPrice - .002
                    self.entryTicket = self.LimitOrder(self.pair, -self.quantity, self.BuyPrice, str(self.macdfiveminute.Current.Value) + " " + str(self.macdLastFiveBar))
                    # Enter Stop Loss Order
                    self.SLTicket = self.StopMarketOrder( self.pair, self.quantity, self.SLPrice)
                    # Enter Take Profit Order
                    self.TPTicket = self.LimitOrder( self.pair, self.quantity, self.TPPrice)
                else:
                    self.NoEntry()
    
    ''' Close ALL Open Positions Before Weekend '''
    def WeekendLiquidation(self):
        self.Liquidate()
        
    def MadeEntry(self):
        self.Debug("ENTRY APPROVED ON " + str(self.Time))
        self.Debug(f"STC Value : {self.stc.Current.Value}")
        
    def NoEntry(self):
        self.Debug("No Entry: " + str(self.Time) + ". ENTRY TICKET: " + str(self.entryTicket))
        self.Debug(f"STC Value : {self.stc.Current.Value}")

    def OnOrderEvent(self, orderEvent):
        if orderEvent.Status != OrderStatus.Filled:
            return
        order = self.Transactions.GetOrderById(orderEvent.OrderId)
        
        if order.Type == OrderType.Limit and self.SLTicket != None:
            self.SLTicket.Cancel()
            self.SLTicket = None
            self.TPTicket = None
        if order.Type == OrderType.StopMarket and self.TPTicket != None:
            self.TPTicket.Cancel()
            self.SLTicket = None
            self.TPTicket = None