Overall Statistics
Total Trades
2
Average Win
0.00%
Average Loss
0%
Compounding Annual Return
8.663%
Drawdown
3.900%
Expectancy
0
Net Profit
2.834%
Sharpe Ratio
0.921
Probabilistic Sharpe Ratio
47.001%
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
0.002
Beta
0.934
Annual Standard Deviation
0.067
Annual Variance
0.004
Information Ratio
-0.121
Tracking Error
0.022
Treynor Ratio
0.066
Total Fees
$0.00
Estimated Strategy Capacity
$530000.00
Lowest Capacity Asset
EURUSD 8G
 
class CalibratedDynamicComputer(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2016, 1, 30) 
        self.SetEndDate(2016, 5, 30) 
        self.SetCash(10000) 
        
        self.SetBrokerageModel(BrokerageName.OandaBrokerage)
        
        symbol = self.AddForex("EURUSD", Resolution.Daily, Market.Oanda).Symbol 
        self.engulfing = self.CandlestickPatterns.Engulfing(symbol, Resolution.Daily)
        self.engulfing_window = RollingWindow[float](10)
        
        
    def OnData(self, data):
        engulfing = self.engulfing.Current.Value
        #self.Plot("IndicatorValue", "Engulfing", engulfing)
        self.engulfing_window.Add(engulfing)
        
        if not self.engulfing_window.IsReady:
            #self.Plot("TrailingIndicatorValue", "TrailingHammer", self.engulfing_window[self.engulfing_window.Count-1])
            self.SetHoldings("EURUSD", 1)
            self.Log(f"self.engulfing_window{self.engulfing_window}")