| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return -6.795% Drawdown 13.700% Expectancy 0 Net Profit -10.179% Sharpe Ratio -0.879 Probabilistic Sharpe Ratio 0.246% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.009 Beta 0.9 Annual Standard Deviation 0.053 Annual Variance 0.003 Information Ratio -0.221 Tracking Error 0.024 Treynor Ratio -0.051 Total Fees $0.00 Estimated Strategy Capacity $580000.00 Lowest Capacity Asset EURUSD 8G |
financial_instrument = "EURUSD"; period = 30; SL = 0.01; TP = 0.01;
class MeasuredSkyBlueWolf(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 10, 18) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
res = Resolution.Daily
self.financial_instrument = self.AddForex(financial_instrument, Resolution.Daily).Symbol
self.macd = self.MACD(financial_instrument, 12, 26, 9, MovingAverageType.Exponential, Resolution.Daily)
self.psar = self.PSAR(financial_instrument, 0.02, 0.02, 0.2, Resolution.Daily)
self.ema = self.EMA(financial_instrument, 20, Resolution.Daily)
self.SetWarmUp(period, res)
self.SetBenchmark(financial_instrument)
self.__previous = datetime.min
self.PlotIndicator("MACD", True, self.macd, self.macd.Signal)
def OnData(self, data: Slice):
price = self.Securities[financial_instrument].Price
if not self.psar.IsReady:
return
if not self.macd.IsReady:
return
if not self.ema.IsReady:
return
uptrend = price > self.ema.Current.Value
downtrend = price < self.ema.Current.Value
if not self.Portfolio.Invested:
if uptrend is True:
if self.macd.Current.Value > self.macd.Signal.Current.Value and self.psar.Current.Value < price:
self.SetHoldings(financial_instrument, 1)
elif downtrend is True:
if self.macd.Current.Value < self.macd.Signal.Current.Value and self.psar.Current.Value > price:
self.SetHoldings(financial_instrument, -1)
elif self.Portfolio.Invested:
if price >= price*(1 + TP) or price < price*(1 - SL):
self.Liquidate(financial_instrument.Symbol)