Overall Statistics
Total Trades
23
Average Win
0%
Average Loss
0%
Compounding Annual Return
0.052%
Drawdown
0.000%
Expectancy
0
Net Profit
0.004%
Sharpe Ratio
4.127
Probabilistic Sharpe Ratio
85.825%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
-1.676
Tracking Error
0.069
Treynor Ratio
-2.456
Total Fees
$0.00
 
class BootCampTask(QCAlgorithm):

    def Initialize(self):

        self.SetCash(100000)
        self.SetStartDate(2017, 5, 1)
        self.SetEndDate(2017, 5, 31)
        self.AddForex("EURUSD", Resolution.Hour, Market.Oanda)
        self.SetBrokerageModel(BrokerageName.OandaBrokerage)

    def OnData(self, data):
        # 1. Debug the close of ask price of the "EURUSD" hourly bar at 05/01/2017 10am
        # Check the self.Time property then
        if self.Time.hour == 10:
            self.LimitOrder('EURUSD', 10, data["EURUSD"].Ask.Close)