Overall Statistics
Total Trades
67
Average Win
1.03%
Average Loss
-1.82%
Compounding Annual Return
1.980%
Drawdown
12.500%
Expectancy
0.092
Net Profit
10.309%
Sharpe Ratio
0.286
Probabilistic Sharpe Ratio
3.711%
Loss Rate
30%
Win Rate
70%
Profit-Loss Ratio
0.57
Alpha
0.017
Beta
0.005
Annual Standard Deviation
0.062
Annual Variance
0.004
Information Ratio
-0.765
Tracking Error
0.179
Treynor Ratio
3.88
Total Fees
$0.00
Estimated Strategy Capacity
$580000.00
Lowest Capacity Asset
EURUSD 8G
 
class ForexBootCamp(QCAlgorithm):
    
    def Initialize(self):
        self.ticker = "EURUSD"
        self.period = 10;
        self.resolution = Resolution.Daily
        
        self.SetStartDate(2016, 6, 13)
        self.SetEndDate(2021, 6, 13)
        self.SetCash(100000)
        
        self.symbol = self.AddForex(self.ticker, self.resolution).Symbol
        self.rsi = self.RSI(self.symbol, self.period, MovingAverageType.Exponential, self.resolution)
        self.SetWarmup(self.period)

    def OnData(self, data):
        if self.IsWarmingUp:
            return
        
        if self.Portfolio[self.symbol].Quantity <= 0 and self.rsi.Current.Value < 30:
            self.SetHoldings(self.symbol, 1)
        elif self.Portfolio[self.symbol].Quantity >= 0 and self.rsi.Current.Value > 70:
            self.SetHoldings(self.symbol, -1)