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
-1.941
Tracking Error
0.115
Treynor Ratio
0
Total Fees
$0.00
 
class EURUSDForexAlgo(QCAlgorithm):
    
    SYMBOL = "EURUSD"
    
    
    def Initialize(self):
        self.SetStartDate(2019, 1, 1)  # Set Start Date
        self.SetEndDate(2019, 6, 1)
        self.SetCash(500)  # Set Strategy Cash
        self.AddForex(self.SYMBOL, Resolution.Hour, Market.FXCM, leverage = 50)
        # self.SetTimeZone("Europe/London")
        self.SetBrokerageModel(BrokerageName.OandaBrokerage,  AccountType.Margin)
        self.lotSize = self.Securities[self.SYMBOL].SymbolProperties.LotSize
        self.SetWarmup(10)        
        
   
            
        
        # consolidating data 
        self.dailywindow = RollingWindow[QuoteBar](10)
        self.Consolidate("EURUSD", Resolution.Daily, lambda x: self.dailywindow.Add(x))
        
       
      
        

        
    def OnData(self, data):
        
      
    
        
        # QUANDO ARRIVA IL NUOVO GIORNO, CALCOLARE TUTTE LE METRICHE PER IL TIMEFRAME DAILY:
        if self.dailywindow.IsReady and self.dailywindow[0].Time != self.dailywindow[1].Time:
            self.Debug(" daily OHLC {0},{1},{2},{3}, ".format(self.dailywindow[0].Open,self.dailywindow[0].High,self.dailywindow[0].Low,self.dailywindow[0].Close))
            self.Debug(" daily OHLC {0} ".format(self.dailywindow[0].Time))