Overall Statistics |
Total Trades 189 Average Win 0.26% Average Loss -0.10% Compounding Annual Return -87.361% Drawdown 7.600% Expectancy -0.807 Net Profit -7.102% Sharpe Ratio -4.521 Probabilistic Sharpe Ratio 0.000% Loss Rate 95% Win Rate 5% Profit-Loss Ratio 2.62 Alpha -0.743 Beta -0.371 Annual Standard Deviation 0.179 Annual Variance 0.032 Information Ratio -2.935 Tracking Error 0.334 Treynor Ratio 2.175 Total Fees $0.00 Estimated Strategy Capacity $1400000.00 |
class DeterminedYellowGreenBull(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 6, 19) self.SetEndDate(2020, 7, 1) self.SetCash(100000) self.py = self.AddForex("AUDNZD", Resolution.Minute) self.SetWarmup(600) self.alma_fast = self.ALMA("AUDNZD", 240, Resolution.Minute) self.alma_slow = self.ALMA("AUDNZD", 350, Resolution.Minute) self.baseline = self.EMA("AUDNZD", 598, Resolution.Minute) def OnData(self, data): if not self.baseline.IsReady: return self.Plot("Custom", "alma_fast", self.alma_fast.Current.Value) self.Plot("Custom", "alma_slow", self.alma_slow.Current.Value) if self.Securities["AUDNZD"].Price >= self.baseline.Current.Value: if self.Portfolio.Invested: self.Liquidate() return if not self.Portfolio.Invested: if self.alma_fast.Current.Value < self.alma_slow.Current.Value and self.py.Close < self.alma_slow.Current.Value: self.SetHoldings("AUDNZD", -2)