Overall Statistics
Total Trades
27
Average Win
0.33%
Average Loss
-0.45%
Compounding Annual Return
15.284%
Drawdown
1.300%
Expectancy
0.205
Net Profit
1.178%
Sharpe Ratio
2.377
Probabilistic Sharpe Ratio
64.444%
Loss Rate
31%
Win Rate
69%
Profit-Loss Ratio
0.74
Alpha
0.111
Beta
0.096
Annual Standard Deviation
0.052
Annual Variance
0.003
Information Ratio
-0.004
Tracking Error
0.082
Treynor Ratio
1.284
Total Fees
$0.00
Estimated Strategy Capacity
$250000.00
 
class BootCampTask(QCAlgorithm):

    def Initialize(self):
        self.SetCash(1000)
        self.SetStartDate(2017, 5, 1)
        self.SetEndDate(2017, 5, 30)
        self.flag = True
        #1. Request the forex data
        self.symbol = self.AddForex("AUDUSD", Resolution.Daily, Market.FXCM).Symbol
        
        #2. Set the brokerage model
        print(type(self.Portfolio.CashBook))
        
    def OnData(self, data):
        self.Debug(f"Total Cash Before = \n{self.Portfolio.CashBook}")
        #3. Using "Portfolio.Invested" submit 1 order for 2000 AUDUSD:
        if self.flag:
            self.MarketOrder(self.symbol, 1000)
        elif not self.flag:
            self.MarketOrder(self.symbol, -1000)
        self.flag = not self.flag
        self.Debug(f"Total Cash After = \n{self.Portfolio.CashBook}")