Overall Statistics
Total Trades
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
-12.180%
Drawdown
0.600%
Expectancy
0
Net Profit
-0.179%
Sharpe Ratio
-1.358
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
-6.446
Annual Standard Deviation
0.055
Annual Variance
0.003
Information Ratio
-1.569
Tracking Error
0.055
Treynor Ratio
0.011
Total Fees
$0.00
 
class fxUniverseExample(QCAlgorithm):
    
    def Initialize(self):
        self.SetStartDate(2013,10, 7)  # Set Start Date
        self.SetEndDate(2013,10,11)    # Set End Date
        self.SetCash(100000)           # Set Strategy Cash

        self.fxPairs = ["EURUSD","GBPUSD","AUDUSD"]
        
        # Set Universe
        self.UniverseSettings.Resolution = Resolution.Daily
        self.AddUniverse(self.fxPairsUniverse)
        
    def fxPairsUniverse(self, coarse):
        return [Symbol.Create(ticker, SecurityType.Forex, Market.FXCM) for ticker in self.fxPairs]
        
    def OnData(self, data):
        
        # Buy the fx pairs, use equal weights
        activeSec = [x.Key for x in self.ActiveSecurities]
        for symbol in activeSec:
            self.SetHoldings(symbol,1/len(self.fxPairs))
            
    # Ignites when security is added to universe
    def OnSecuritiesChanged(self, changes):
        self._changes = changes