Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
1.513%
Drawdown
0.100%
Expectancy
0
Net Profit
0.081%
Sharpe Ratio
3.026
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.022
Beta
-0.707
Annual Standard Deviation
0.004
Annual Variance
0
Information Ratio
-0.846
Tracking Error
0.004
Treynor Ratio
-0.016
Total Fees
$0.00
 
from datetime import timedelta

class TransdimensionalDynamicThrustAssembly(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 4, 14)  # Set Start Date
        self.SetEndDate(2019, 5, 3) # Set End Date
        self.SetCash(1000) # Set Strategy Cash
            # request forex data
        self.AddForex("NZDUSD", Resolution.Minute, Market.Oanda)
        self.AddForex("NZDUSD", Resolution.Tick, Market.Oanda)
            # set brokerage model
        self.SetBrokerageModel(BrokerageName.OandaBrokerage)
       
       
       
    def OnData(self, data):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
            Arguments:
                data: Slice object keyed by symbol containing the stock data'''
        #ticks = slice["NZDUSD"]
        #for Tick in Ticks:
         #    self.price = tick.Price
        newsdates= ["2019,4,16/22:45:00",
                "2019,4,30/22:45:00",
                "2019,5,8/2:00:00",
                "2019,5,8/3:00:00",
                "2019,5,8/20:00:00",
                "2019,5,21/22:45:00"]
        eventTime = datetime.strptime(newsdates[0],'%Y,%m,%d/%H:%M:%S')
        
        if self.Time == eventTime- timedelta(minutes=3):
            self.DoSomething()       
        
        # if not self.Portfolio.Invested:
        #    self.SetHoldings("SPY", 1)
    def DoSomething(self):
        
        self.StopMarketOrder("NZDUSD", -100, 0.67676-(300*0.00001))