| Overall Statistics |
|
Total Trades 127 Average Win 1.08% Average Loss -1.04% Compounding Annual Return 3.157% Drawdown 7.000% Expectancy 0.328 Net Profit 20.522% Sharpe Ratio 0.489 Probabilistic Sharpe Ratio 7.648% Loss Rate 35% Win Rate 65% Profit-Loss Ratio 1.04 Alpha 0.027 Beta -0.001 Annual Standard Deviation 0.055 Annual Variance 0.003 Information Ratio -0.512 Tracking Error 0.173 Treynor Ratio -31.559 Total Fees $0.00 Estimated Strategy Capacity $560000.00 Lowest Capacity Asset EURUSD 8G |
from System.Drawing import Color
class ForexBollingerBandBot(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2015, 1, 1)
self.SetEndDate(2021, 1, 1)
self.SetCash(100000)
self.pair = self.AddForex("EURUSD", Resolution.Daily, Market.Oanda).Symbol
self.bb = self.BB(self.pair, 20, 2)
stockPlot = Chart('Trade Plot')
stockPlot.AddSeries(Series('Buy', SeriesType.Scatter, '$',
Color.Green, ScatterMarkerSymbol.Triangle))
stockPlot.AddSeries(Series('Sell', SeriesType.Scatter, '$',
Color.Red, ScatterMarkerSymbol.TriangleDown))
stockPlot.AddSeries(Series('Liquidate', SeriesType.Scatter, '$',
Color.Blue, ScatterMarkerSymbol.Diamond))
self.AddChart(stockPlot)
def OnData(self, data):
if not self.bb.IsReady:
return
price = data[self.pair].Price
self.Plot("Trade Plot", "Price", price)
self.Plot("Trade Plot", "MiddleBand", self.bb.MiddleBand.Current.Value)
self.Plot("Trade Plot", "UpperBand", self.bb.UpperBand.Current.Value)
self.Plot("Trade Plot", "LowerBand", self.bb.LowerBand.Current.Value)
if not self.Portfolio.Invested:
if self.bb.LowerBand.Current.Value > price:
self.SetHoldings(self.pair, 1)
self.Plot("Trade Plot", "Buy", price)
elif self.bb.UpperBand.Current.Value < price:
self.SetHoldings(self.pair, -1)
self.Plot("Trade Plot", "Sell", price)
else:
if self.Portfolio[self.pair].IsLong:
if self.bb.MiddleBand.Current.Value < price:
self.Liquidate()
self.Plot("Trade Plot", "Liquidate", price)
elif self.bb.MiddleBand.Current.Value > price:
self.Liquidate()
self.Plot("Trade Plot", "Liquidate", price)