| Overall Statistics |
|
Total Trades 2 Average Win 0% Average Loss 0.00% Compounding Annual Return 0.000% Drawdown 0.000% Expectancy -1 Net Profit 0.000% Sharpe Ratio -0.868 Probabilistic Sharpe Ratio 7.416% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio -1.041 Tracking Error 0.159 Treynor Ratio 0.241 Total Fees $0.00 Estimated Strategy Capacity $760000.00 |
class SquareApricotDinosaur(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 9, 2) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.symbol = self.AddForex("USDCAD", Resolution.Minute).Symbol
self.done = False
def OnData(self, data):
if self.done:
return
if not self.Portfolio.Invested:
self.MarketOrder(self.symbol, -100)
else:
self.done = True
# Option 1
quantity = round(self.Portfolio.CashBook['CAD'].ValueInAccountCurrency)
self.MarketOrder(self.symbol, quantity)
# Option 2
#self.Liquidate(self.symbol)