Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
0.315%
Drawdown
0.000%
Expectancy
0
Net Profit
0.007%
Sharpe Ratio
4.419
Probabilistic Sharpe Ratio
75.577%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.007
Beta
-0.001
Annual Standard Deviation
0.001
Annual Variance
0
Information Ratio
-31.885
Tracking Error
0.104
Treynor Ratio
-2.045
Total Fees
$0.01
 
class ParticleQuantumComputer(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 6, 29)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        # self.AddEquity("SPY", Resolution.Minute)
        # self.AddEquity('SPY', Resolution.Minute)
        self.SetBrokerageModel(BrokerageName.FxcmBrokerage)
        self.AddForex('EURUSD', Resolution.Daily, Market.FXCM)
        self.Securities['EURUSD'].SetFeeModel(CustomFeeModel())

    def OnData(self, data):
        if not self.Portfolio.Invested:
            shares = 1000
            fee = data['EURUSD'].Close * shares * 0.00001 
            self.Debug(fee)
            self.MarketOrder('EURUSD', shares)
        
class CustomFeeModel:
    def GetOrderFee(self, parameters):
        fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00001
        return OrderFee(CashAmount(fee, 'USD'))