Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
-0.433%
Drawdown
4.500%
Expectancy
0
Net Profit
-0.215%
Sharpe Ratio
-0.054
Probabilistic Sharpe Ratio
20.626%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.015
Beta
0.039
Annual Standard Deviation
0.043
Annual Variance
0.002
Information Ratio
-2.279
Tracking Error
0.148
Treynor Ratio
-0.06
Total Fees
$0.00
Estimated Strategy Capacity
$6500000.00
 
class EmotionalOrangeBaboon(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 9, 22)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddForex("AUDNZD", Resolution.Minute)


    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings('AUDNZD', 1)
        
        self.Plot('AUDNZD Unrealized', 'value', self.Portfolio['AUDNZD'].UnrealizedProfit)