Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
-0.486
Tracking Error
0.166
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
from AlgorithmImports import *

class EMAMomentumUniverse(QCAlgorithm):
    
    def Initialize(self):
        self.SetStartDate(2007, 2, 20)
        self.SetEndDate(2022, 3, 3)
        self.SetCash(100000)

        self.is_invested = None             
        self.quantity1 = 0
        self.quantity2 = 0       
        self.data = None

        self.pares = ['EURAUD','EURCAD']

        self.asset1  = self.AddForex(self.pares[0], Resolution.Hour, Market.Oanda).Symbol
        self.asset2  = self.AddForex(self.pares[1], Resolution.Hour, Market.Oanda).Symbol                      
 
        self.SetSecurityInitializer(lambda security: security.SetFeeModel(ConstantFeeModel(0)))

    def OnData(self, data):
        if self.IsWarmingUp: return

        if self.is_invested is True: return

        quantity1 = self.CalculateOrderQuantity(self.asset1, 1)
        quantity2 = self.CalculateOrderQuantity(self.asset2, 1)

        quantity1_1 = self.Portfolio.Cash / self.Securities[self.asset1].Price

        self.Debug('Asset1: '+str(self.Securities[self.asset1].Price))
        self.Debug('Asset2: '+str(self.Securities[self.asset2].Price))

        self.Debug('Quantity1: '+str(quantity1))
        self.Debug('Quantity2: '+str(quantity2))
        self.Debug('Quantity1_1: '+str(quantity1_1))

        self.is_invested = True