Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
308.935%
Drawdown
1.000%
Expectancy
0
Net Profit
0%
Sharpe Ratio
12.318
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.824
Beta
-0.029
Annual Standard Deviation
0.066
Annual Variance
0.004
Information Ratio
2.195
Tracking Error
0.207
Treynor Ratio
-27.59
Total Fees
$0.00
 
from datetime import timedelta

class BasicTemplateAlgorithm(QCAlgorithm):
    '''Basic template algorithm simply initializes the date range and cash'''

    def Initialize(self):
        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
        
        self.SetStartDate(2013,10,07)  #Set Start Date
        self.SetEndDate(2013,10,11)    #Set End Date
        self.SetCash(100000)           #Set Strategy Cash
        # Find more symbols here: http://quantconnect.com/data
        self.AddForex("AUDJPY")

        fourHourConsolidator = QuoteBarConsolidator(timedelta(minutes=240))
        fourHourConsolidator.DataConsolidated += self.FourHourBarHandler
        self.SubscriptionManager.AddConsolidator("AUDJPY", fourHourConsolidator)
        
        self.fourHourIchimoku = IchimokuKinkoHyo("", 9, 26, 26, 52, 26, 26)
        self.RegisterIndicator("AUDJPY", self.fourHourIchimoku, fourHourConsolidator, None)


    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings("AUDJPY", 1)
            
    def FourHourBarHandler(self, sender, bar):
        self.Log(str(self.fourHourIchimoku.Current))