| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return -4.000% Drawdown 8.800% Expectancy 0 Net Profit -1.664% Sharpe Ratio -0.248 Probabilistic Sharpe Ratio 18.641% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.036 Beta 0.039 Annual Standard Deviation 0.09 Annual Variance 0.008 Information Ratio -2.134 Tracking Error 0.184 Treynor Ratio -0.578 Total Fees $0.00 Estimated Strategy Capacity $3100000.00 |
class DeterminedYellowGreenBull(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 6, 19)
self.SetEndDate(2020, 11, 15)
self.SetCash(100000)
self.py = self.AddForex("AUDNZD", Resolution.Minute)
self.SetWarmup(600)
self.alma_fast = self.ALMA("AUDNZD", 240, Resolution.Minute)
self.alma_slow = self.ALMA("AUDNZD", 350, Resolution.Minute)
self.baseline = self.EMA("AUDNZD", 598, Resolution.Minute)
self.atr = self.ATR("AUDNZD", 14, MovingAverageType.Simple, Resolution.Minute)
self.sma_atr = IndicatorExtensions.Of(SimpleMovingAverage(10), self.atr)
def OnData(self, data):
if not self.baseline.IsReady:
return
self.Plot("Custom", "alma_fast", self.alma_fast.Current.Value)
self.Plot("Custom", "alma_slow", self.alma_slow.Current.Value)
if not self.Portfolio.Invested:
if self.atr.Current.Value > self.sma_atr.Current.Value:
if self.alma_fast.Current.Value > self.alma_slow.Current.Value:
if self.py.Close > self.alma_slow.Current.Value:
self.SetHoldings("AUDNZD", 2)
if not self.Portfolio.Invested:
if self.atr.Current.Value > self.sma_atr.Current.Value:
if self.alma_fast.Current.Value < self.alma_slow.Current.Value:
if self.py.Close < self.alma_slow.Current.Value:
self.SetHoldings("AUDNZD", -2)
if self.Portfolio.Invested:
if self.Securities["AUDNZD"].Price == self.baseline.Current.Value:
self.Liquidate()