Overall Statistics
Total Trades
659
Average Win
0.24%
Average Loss
-0.25%
Compounding Annual Return
-1.258%
Drawdown
8.200%
Expectancy
-0.061
Net Profit
-4.957%
Sharpe Ratio
-0.493
Loss Rate
52%
Win Rate
48%
Profit-Loss Ratio
0.96
Alpha
-0.008
Beta
-0.007
Annual Standard Deviation
0.018
Annual Variance
0
Information Ratio
-0.813
Tracking Error
0.105
Treynor Ratio
1.165
Total Fees
$0.00
 
import decimal as d

class BasicTemplateAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2013,10,07)
        self.SetEndDate(2017,10,11)
        self.SetCash(5000)

        self.pair = self.AddForex("EURUSD").Symbol

    def OnData(self, data):
        
        if not self.Portfolio.Invested:
            price = data[self.pair].Close
            onePercent = d.Decimal(1.01)
            self.Buy(self.pair, 1000)
            self.LimitOrder(self.pair, -1000, price * onePercent)
            self.StopMarketOrder(self.pair, -1000, price / onePercent)

    def OnOrderEvent(self, orderEvent):
        order = self.Transactions.GetOrderById(orderEvent.OrderId)
        
        if order.Status == OrderStatus.Filled:
            if order.Type == OrderType.Limit or order.Type == OrderType.Limit:
                self.Transactions.CancelOpenOrders(order.Symbol)
                
        if order.Status == OrderStatus.Canceled:
            self.Log(str(orderEvent))