Overall Statistics |
Total Trades 2 Average Win 0% Average Loss 0% Compounding Annual Return 49.437% Drawdown 0.200% Expectancy 0 Net Profit 0% Sharpe Ratio 11.695 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.245 Beta -0.135 Annual Standard Deviation 0.02 Annual Variance 0 Information Ratio 4.008 Tracking Error 0.033 Treynor Ratio -1.716 Total Fees $0.00 |
import decimal as d class BasicTemplateAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2017,10,07) self.SetEndDate(2017,10,11) self.SetCash(5000) self.pair = self.AddForex("EURUSD").Symbol def OnData(self, data): if not self.Portfolio.Invested: price = data[self.pair].Close onePercent = d.Decimal(1.01) self.Buy(self.pair, 1000) self.LimitOrder(self.pair, 1000, price / onePercent) self.StopMarketOrder(self.pair, 1000, price / onePercent) def OnOrderEvent(self, orderEvent): order = self.Transactions.GetOrderById(orderEvent.OrderId) if order.Status == OrderStatus.Filled: if order.Type == OrderType.Limit or order.Type == OrderType.StopMarket: self.Transactions.CancelOpenOrders(order.Symbol) if order.Status == OrderStatus.Canceled: self.Log(str(orderEvent))