Overall Statistics
Total Orders
6
Average Win
0%
Average Loss
0%
Compounding Annual Return
0.147%
Drawdown
25.400%
Expectancy
0
Start Equity
25000
End Equity
25908.82
Net Profit
3.635%
Sharpe Ratio
-0.375
Sortino Ratio
-0.386
Probabilistic Sharpe Ratio
0.000%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.022
Beta
0.03
Annual Standard Deviation
0.054
Annual Variance
0.003
Information Ratio
-0.408
Tracking Error
0.162
Treynor Ratio
-0.666
Total Fees
$0.00
Estimated Strategy Capacity
$5100000.00
Lowest Capacity Asset
USDJPY 8G
Portfolio Turnover
0.01%
 
# region imports
from AlgorithmImports import *
# endregion

class ForexCarryTradeAlgorithm(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2001, 1, 1) 
        self.SetEndDate(2025, 4, 1)  
        self.SetCash(25000)
        
        rate_symbol_by_ticker = {
            "USDEUR": "BCB/17900",  # Euro Area
            "USDZAR": "BCB/17906",  # South Africa
            "USDAUD": "BCB/17880",  # Australia
            "USDJPY": "BCB/17903",  # Japan
            "USDTRY": "BCB/17907",  # Turkey
            "USDINR": "BCB/17901",  # India
            "USDCNY": "BCB/17899",  # China
            "USDMXN": "BCB/17904",  # Mexico
            "USDCAD": "BCB/17881"   # Canada
        }

        self.symbols = {}
        for ticker, rate_symbol in rate_symbol_by_ticker.items():
            forex_symbol = self.AddForex(ticker, Resolution.Daily, Market.Oanda).Symbol
            data_symbol = self.AddData(NasdaqDataLink, rate_symbol, Resolution.Daily, TimeZones.Utc, True).Symbol
            self.symbols[str(forex_symbol)] = data_symbol
            
        self.Schedule.On(self.DateRules.MonthStart("USDEUR"), self.TimeRules.BeforeMarketClose("USDEUR"), self.Rebalance)

    def Rebalance(self):
        top_symbols = sorted(self.symbols, key = lambda x: self.Securities[self.symbols[x]].Price)
        
        self.SetHoldings(top_symbols[-1],  0.2)
        self.SetHoldings(top_symbols[-2],  0.2)
        self.SetHoldings(top_symbols[-3],  0.1)
        self.SetHoldings(top_symbols[-4], -0.0)
        self.SetHoldings(top_symbols[-5], -0.1)
        self.SetHoldings(top_symbols[-6], -0.1)
        self.SetHoldings(top_symbols[-7], -0.2)
        self.SetHoldings(top_symbols[-8], -0.2)
        self.SetHoldings(top_symbols[0],  -0.0)