| Overall Statistics |
|
Total Trades 32096 Average Win 0.01% Average Loss -0.01% Compounding Annual Return -11.910% Drawdown 2.800% Expectancy -0.006 Net Profit -1.140% Sharpe Ratio -1.836 Loss Rate 52% Win Rate 48% Profit-Loss Ratio 1.07 Alpha -0.071 Beta 0.03 Annual Standard Deviation 0.047 Annual Variance 0.002 Information Ratio 2.295 Tracking Error 0.186 Treynor Ratio -2.917 Total Fees $0.00 |
using MathNet.Numerics;
namespace QuantConnect
{
public class BasicTemplateAlgorithm : QCAlgorithm
{
public string pair1 = "EURUSD";
public override void Initialize()
{
SetStartDate(2016,01,01);
SetEndDate(2016, 02, 02);
SetBrokerageModel(BrokerageName.OandaBrokerage);
SetCash(10000);
AddForex(pair1, Resolution.Minute, Market.Oanda);
}
public void OnData(TradeBars data) {
var close = (double)data[pair1].Close;
// Entry
if(!Portfolio.Invested){
SetHoldings(pair1, 1);
}
else{
Liquidate();
}
}
public override void OnEndOfDay()
{
Plot(pair1, "EOD", Securities[pair1].Close);
}
}
}