Overall Statistics
Total Trades
67
Average Win
1.03%
Average Loss
-1.82%
Compounding Annual Return
1.979%
Drawdown
12.500%
Expectancy
0.092
Net Profit
10.309%
Sharpe Ratio
0.286
Probabilistic Sharpe Ratio
3.705%
Loss Rate
30%
Win Rate
70%
Profit-Loss Ratio
0.57
Alpha
0.017
Beta
0.005
Annual Standard Deviation
0.062
Annual Variance
0.004
Information Ratio
-0.765
Tracking Error
0.179
Treynor Ratio
3.877
Total Fees
$0.00
Estimated Strategy Capacity
$580000.00
Lowest Capacity Asset
EURUSD 8G
 
using System;

namespace QuantConnect.Algorithm.CSharp
{
    public class ForexBootCamp : QCAlgorithm
    {
    	string ticker = "EURUSD";
    	int period = 10;
    	Resolution resolution = Resolution.Daily;
    	RelativeStrengthIndex rsi;
    	Symbol symbol;
    	
        public override void Initialize()
        {
            SetStartDate(2016, 6, 13);
            SetEndDate(2021, 6, 13);
            SetCash(100000);
			symbol = AddForex(ticker, resolution).Symbol;
			rsi = RSI(symbol, period, MovingAverageType.Exponential, resolution);
			SetWarmup(period);
        }

        public override void OnData(Slice data)
        {
        	if (IsWarmingUp)
        	{
        		return;
        	}
        	
        	if (Portfolio[symbol].Quantity <= 0 && rsi < 30)
        	{
        		SetHoldings(symbol, 1);
        	}
        	else if (Portfolio[symbol].Quantity >= 0 && rsi > 70)
        	{
        		SetHoldings(symbol, -1);
        	}

        }
    }
}