| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 0.815% Drawdown 0.200% Expectancy 0 Net Profit 0.687% Sharpe Ratio 1.575 Probabilistic Sharpe Ratio 71.077% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.01 Beta -0.006 Annual Standard Deviation 0.005 Annual Variance 0 Information Ratio -2.175 Tracking Error 0.175 Treynor Ratio -1.428 Total Fees $0.00 Estimated Strategy Capacity $0 |
class MultidimensionalCalibratedChamber(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 6, 9)
self.SetCash(10000)
properties = SymbolProperties("EUR", "USD", 1, 0.0001, 1, "EURUSD")
exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork)
self.symbol = self.AddData(USDRUB, "EURUSD", properties, exchangeHours)
self.Log(f"{self.symbol.SymbolProperties.MinimumPriceVariation}")
def OnData(self, data):
if not self.Portfolio.Invested:
self.StopMarketOrder(self.symbol.Symbol, 10, 1.39140)
class USDRUB(PythonData):
''' Weather based rebalancing'''
def GetSource(self, config, date, isLive):
source = "https://raw.githubusercontent.com/shilewenuw/FileHost/master/%5Eusdrub_price-history-09-09-2020.csv"
return SubscriptionDataSource(source, SubscriptionTransportMedium.RemoteFile);
def Reader(self, config, line, date, isLive):
# If first character is not digit, pass
if not (line.strip() and line[0].isdigit()): return None
data = line.split(',')
usdrub = USDRUB()
usdrub.Symbol = config.Symbol
usdrub.Time = datetime.strptime(data[0].split(' ')[0], '%m/%d/%Y')
usdrub.Value = float(data[4])
usdrub['Open'] = float(data[1])
usdrub['High'] = float(data[2])
usdrub['Low'] = float(data[3])
usdrub['Close'] = float(data[4])
usdrub['Volume'] = float(data[6])
usdrub['pct_change'] = float(data[5])
return usdrub