Overall Statistics
Total Trades
2
Average Win
0%
Average Loss
-4.12%
Compounding Annual Return
-1.394%
Drawdown
5.800%
Expectancy
-1
Net Profit
-4.120%
Sharpe Ratio
-0.782
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.027
Beta
0.964
Annual Standard Deviation
0.014
Annual Variance
0
Information Ratio
-1.906
Tracking Error
0.014
Treynor Ratio
-0.012
Total Fees
$0.00
 
import numpy as np
from System.Drawing import Color

class RSIAlgorithm(QCAlgorithm):

    def Initialize(self):

        # Set our main strategy parameters
        self.SetStartDate(2015,1, 1)   # Set Start Date
        self.SetEndDate(2018,1,1)      # Set End Date
        self.SetCash(10000)            # Set Strategy Cash
        
        RSI_Period    = 14                # RSI Look back period 
        self.RSI_OB   = 80                # RSI Overbought level
        self.RSI_OS   = 20                # RSI Oversold level
        self.RSI_MID = 50                 # RSI Mid level
        self.Allocate = 50             # Percentage of captital to allocate
        
        self.pip = 0.0001
        
        # Find more symbols here: http://quantconnect.com/data
        self.AddForex("EURUSD", Resolution.Daily,Leverage=1)
        self.RSI_Ind = self.RSI("EURUSD", RSI_Period)
        
        # Ensure that the Indicator has enough data before trading,. 
        self.SetWarmUp(RSI_Period)
        
        # Construct "Trade Plot"
        IndicatorPlot = Chart("Trade Plot")
        IndicatorPlot.AddSeries(Series("RSI", SeriesType.Line,"", Color.Black))
        IndicatorPlot.AddSeries(Series("Over Bought", SeriesType.Line,"", Color.Black))
        IndicatorPlot.AddSeries(Series("Mid", SeriesType.Line, "", Color.Black))
        IndicatorPlot.AddSeries(Series("Over Sold", SeriesType.Line, "", Color.Black))
        IndicatorPlot.AddSeries(Series("Buy", SeriesType.Scatter,"", Color.Green))
        IndicatorPlot.AddSeries(Series("Sell", SeriesType.Scatter, "", Color.Red))
        self.AddChart(IndicatorPlot)

        
    def OnData(self, data):
        if not self.RSI_Ind.IsReady: return
    
        self.Plot("Trade Plot", "RSI", self.RSI_Ind.Current.Value)
        self.Plot("Trade Plot", "Over Bought", self.RSI_OB)
        self.Plot("Trade Plot", "Over Sold", self.RSI_OS)
        self.Plot("Trade Plot", "Mid", self.RSI_MID)
        
        rate = data["EURUSD"].Close

        # Open position
        if not self.Portfolio.Invested:
            
            # Target quantity is 50% of portfolio value
            quantity = self.CalculateOrderQuantity("EURUSD",self.Allocate/100)
            
            # Long EURUSD
            if self.RSI_Ind.Current.Value < self.RSI_OS:
                
                # Buy Stop Market Order with a Stop-Loss
                self.StopMarketOrder("EURUSD", quantity, rate - self.pip*100)
                self.Plot("Trade Plot", "Buy", self.RSI_Ind.Current.Value)

            # Short EURUSD    
            elif self.RSI_Ind.Current.Value > self.RSI_OB:
                # Sell Stop Market Order with a Stop-Loss
                self.StopMarketOrder("EURUSD", -quantity, rate + self.pip*100)
                self.Plot("Trade Plot", "Sell", self.RSI_Ind.Current.Value)

        # Close position
        if self.Portfolio.Invested:
            if self.Portfolio["EURUSD"].Quantity > 0:
                if self.RSI_Ind.Current.Value > self.RSI_MID:
                    self.Liquidate("EURUSD")
                    self.Plot("Trade Plot", "Sell", self.RSI_Ind.Current.Value)

            else:
                if self.RSI_Ind.Current.Value < self.RSI_MID:
                    self.Liquidate("EURUSD")
                    self.Plot("Trade Plot", "Buy", self.RSI_Ind.Current.Value)