Overall Statistics
Total Trades
128
Average Win
2.83%
Average Loss
-3.66%
Compounding Annual Return
22.557%
Drawdown
43.600%
Expectancy
0.243
Net Profit
176.795%
Sharpe Ratio
0.908
Probabilistic Sharpe Ratio
33.001%
Loss Rate
30%
Win Rate
70%
Profit-Loss Ratio
0.77
Alpha
0.204
Beta
-0.01
Annual Standard Deviation
0.223
Annual Variance
0.05
Information Ratio
0.18
Tracking Error
0.281
Treynor Ratio
-20.673
Total Fees
$0.00
Estimated Strategy Capacity
$660000.00
Lowest Capacity Asset
EURUSD 8G
 
using System;

namespace QuantConnect.Algorithm.CSharp
{
    public class BootCampTask : QCAlgorithm
    {
    	Stochastic stochastic;
    	
        public override void Initialize()
        {
            SetStartDate(2016, 6, 1);
            SetEndDate(2021, 6, 1);
            SetCash(10000);
			AddForex("EURUSD", Resolution.Hour);
			stochastic = STO("EURUSD", 240, Resolution.Hour);
			SetWarmup(240);
        }

        public override void OnData(Slice data)
        {
        	if (IsWarmingUp) return;
        	if (!stochastic.IsReady) return;
        	
        	if (stochastic < 20)
        	{
        		if (!Portfolio["EURUSD"].Invested)
        		{
        			MarketOrder("EURUSD", 50000);
        		}
        		else if (Portfolio["EURUSD"].IsShort)
        		{
        			MarketOrder("EURUSD", 100000);
        		}
        	}
        	else if (stochastic > 80)
        	{
        		if (!Portfolio["EURUSD"].Invested)
        		{
        			MarketOrder("EURUSD", -50000);
        		}
        		else if (Portfolio["EURUSD"].IsLong)
        		{
        			MarketOrder("EURUSD", -100000);
        		}
        	}
        }
        
        public override void OnOrderEvent(OrderEvent orderEvent)
        {
    		if (orderEvent.Status == OrderStatus.Filled)
    		{
        		Debug("Euros=" + Portfolio.CashBook["EUR"].Amount);
        		Debug("Dollars=" + Portfolio.CashBook["USD"].Amount);
    		}
		}
    }
}