| Overall Statistics |
|
Total Trades 113 Average Win 0.11% Average Loss -0.08% Compounding Annual Return 0.085% Drawdown 1.100% Expectancy 0.057 Net Profit 0.085% Sharpe Ratio 0.069 Loss Rate 55% Win Rate 45% Profit-Loss Ratio 1.37 Alpha 0.001 Beta 0.003 Annual Standard Deviation 0.011 Annual Variance 0 Information Ratio -0.356 Tracking Error 0.134 Treynor Ratio 0.218 Total Fees $0.00 |
class heikinAshi(QCAlgorithm):
buy = 0
sell = 0
def Initialize(self):
self.SetStartDate(2018, 6, 1)
self.SetEndDate(2019, 6, 1)
self.SetCash(5000)
self.SetBrokerageModel(BrokerageName.OandaBrokerage)
self.USDJPY = self.AddForex("USDJPY", Resolution.Daily, Market.Oanda)
self.heikinAshi = self.HeikinAshi(self.USDJPY.Symbol, Resolution.Daily)
def OnData(self,data):
if not self.heikinAshi.IsReady:
return
if self.heikinAshi.Close > self.heikinAshi.Open and self.buy == 0:
if self.sell == 1:
self.Liquidate()
self.sell = 0
self.MarketOrder("USDJPY", 1000)
self.buy = 1
if self.heikinAshi.Close < self.heikinAshi.Open and self.sell == 0:
if self.buy == 1:
self.Liquidate()
self.buy = 0
self.MarketOrder("USDJPY", -1000)
self.sell = 1