Overall Statistics Total Trades44Average Win2.84%Average Loss-1.62%Compounding Annual Return-0.147%Drawdown18.500%Expectancy0.002Net Profit-0.882%Sharpe Ratio0.011Loss Rate64%Win Rate36%Profit-Loss Ratio1.76Alpha0Beta0Annual Standard Deviation0.061Annual Variance0.004Information Ratio0Tracking Error0Treynor Ratio0Total Fees\$134.00
```using System;
using System.Linq;
using QuantConnect.Indicators;
using QuantConnect.Models;

namespace QuantConnect.Algorithm.Examples
{
/// <summary>
///
/// QuantConnect University: EMA + SMA Cross
///
/// In this example we look at the canonical 15/30 day moving average cross. This algorithm
/// will go long when the 15 crosses above the 30 and will liquidate when the 15 crosses
/// back below the 30.
/// </summary>
public class QCUMovingAverageCross : QCAlgorithm
{
private Symbol symbol = QuantConnect.Symbol.Create("EURUSD", SecurityType.Forex, Market.FXCM);
private ExponentialMovingAverage fast;
private ExponentialMovingAverage slow;
private SimpleMovingAverage[] ribbon;

public override void Initialize()
{
// set up our analysis span
SetStartDate(2009, 01, 01);
SetEndDate(2015, 01, 01);
SetBenchmark(time => 25000);

SetBrokerageModel(BrokerageName.FxcmBrokerage);

// request SPY data with minute resolution

// create a 15 day exponential moving average
fast = EMA(symbol, 15, Resolution.Daily);

// create a 30 day exponential moving average
slow = EMA(symbol, 30, Resolution.Daily);

// the following lines produce a simple moving average ribbon, this isn't
// actually used in the algorithm's logic, but shows how easy it is to make
// indicators and plot them!

// note how we can easily define these indicators to receive hourly data
int ribbonCount = 7;
int ribbonInterval = 15*8;
ribbon = new SimpleMovingAverage[ribbonCount];

for(int i = 0; i < ribbonCount; i++)
{
ribbon[i] = SMA(symbol, (i + 1)*ribbonInterval, Resolution.Hour);
}
}

private DateTime previous;
{
// a couple things to notice in this method:
//  1. We never need to 'update' our indicators with the data, the engine takes care of this for us
//  2. We can use indicators directly in math expressions
//  3. We can easily plot many indicators at the same time

// wait for our slow ema to fully initialize

// only once per day
if (previous.Date == Time.Date) return;

// define a small tolerance on our checks to avoid bouncing
const decimal tolerance = 0.00015m;
var holdings = Portfolio[symbol].Quantity;

// we only want to go long if we're currently short or flat
if (holdings <= 0)
{
// if the fast is greater than the slow, we'll go long
if (fast > slow * (1 + tolerance))
{
SetHoldings(symbol, 1.0);
}
}

// we only want to liquidate if we're currently long
// if the fast is less than the slow we'll liquidate our long
if (holdings > 0 && fast < slow)
{
Log("SELL >> " + Securities[symbol].Price);
Liquidate(symbol);
}

Plot(symbol, "Price", data[symbol].Price);
Plot("Ribbon", "Price", data[symbol].Price);

// easily plot indicators, the series name will be the name of the indicator
Plot(symbol, fast, slow);
Plot("Ribbon", ribbon);

previous = Time;
}
}
}```