Overall Statistics
Total Trades
626
Average Win
0.01%
Average Loss
-0.02%
Compounding Annual Return
-4.548%
Drawdown
5.600%
Expectancy
-0.926
Net Profit
-5.606%
Sharpe Ratio
-14.557
Probabilistic Sharpe Ratio
0%
Loss Rate
95%
Win Rate
5%
Profit-Loss Ratio
0.44
Alpha
-0.032
Beta
0
Annual Standard Deviation
0.002
Annual Variance
0
Information Ratio
-1.079
Tracking Error
0.127
Treynor Ratio
-201.739
Total Fees
$0.00
 
import datetime

class EURUSDHourMinute(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2018, 10, 11)
        self.SetCash(1000000)          

        self.SetBrokerageModel(BrokerageName.OandaBrokerage)
        self.AddForex("EURUSD", Resolution.Minute, Market.Oanda)
        
        self.buy    = 0
        self.sell   = 0 
        self.wins   = 0
        self.totals = 0
        
    def OnData(self, data):
        if not self.Portfolio.Invested and self.Time.hour == 18 and self.Time.minute == 0:
            self.buy = data["EURUSD"].Price
            self.SetHoldings("EURUSD", 1)
            
        if self.Portfolio.Invested and self.Time.hour == 18 and self.Time.minute == 1:
            self.sell = data["EURUSD"].Price
            if self.buy < self.sell:
                self.Debug("PROFIT: " + str(self.sell-self.buy))
                self.wins += 1
            else:
                self.Debug("LOSS:   " + str(self.sell-self.buy))   
                
            self.Liquidate()
            self.totals += 1
            
            
    def OnEndOfAlgorithm(self):
        self.Debug("Win Rate: " + str(self.wins/self.totals))