Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
 
using MathNet.Numerics;
namespace QuantConnect 
{   
    
    public class BasicTemplateAlgorithm : QCAlgorithm
    {
    	// The majority of cross minutely data seems to be unavailable
    	// GBPUSD works
    	// EURGBP doesnt
    	public string pair1 = "TRYJPY";
    	int holdHours = 0;
    	BollingerBands bb;
    	
        public override void Initialize() 
        {
        	SetStartDate(2016,01,01);
            SetEndDate(2016, 12, 12);         
            
            //SetBrokerageModel(BrokerageName.FxcmBrokerage);
            SetBrokerageModel(BrokerageName.OandaBrokerage);
            
            SetCash(10000);

            //AddForex(pair1, Resolution.Minute, Market.Oanda);
            AddForex(pair1, Resolution.Minute, Market.Oanda);
            bb = BB(pair1, 40, 1.0M, MovingAverageType.Simple, Resolution.Minute);
        }
        
	    public void OnData(TradeBars data) {

			var close = (double)data[pair1].Close;
			// Entry
			if(!Portfolio.Invested){
				SetHoldings(pair1, 1);
			}
			else{
				Liquidate();
			}
			
        }
    	public override void OnEndOfDay()
    	{
    		Plot("TRYJPY", "EOD", Securities["TRYJPY"].Close);
    	}
	
    }
}