| Overall Statistics |
|
Total Trades 7 Average Win 0% Average Loss 0% Compounding Annual Return -3.860% Drawdown 0.100% Expectancy 0 Net Profit -0.075% Sharpe Ratio -8.97 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.016 Beta -0.787 Annual Standard Deviation 0.003 Annual Variance 0 Information Ratio -13.072 Tracking Error 0.003 Treynor Ratio 0.035 Total Fees $35.00 |
class QuantumMultidimensionalCoreWave(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2018, 11, 7) # Set Start Date
self.SetEndDate(2018,11,13) # Set End Date
self.SetCash(100000) # Set Strategy Cash
self.AddForex("EURUSD", Resolution.Daily, Market.FXCM)
self.Securities["EURUSD"].SetFeeModel(CustomFeeModel())
def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
Arguments:
data: Slice object keyed by symbol containing the stock data
'''
# if not self.Portfolio.Invested:
self.Buy("EURUSD", 1000)
def OnOrderEvent(self, orderEvent):
self.Log(orderEvent)
self.Log("fee: "+str(orderEvent.OrderFee.Value.Amount))
class CustomFeeModel(FeeModel):
def GetOrderFee(self, parameters):
# custom fee math
fee = max(1, parameters.Order.AbsoluteQuantity
* 0.005)
return OrderFee(CashAmount(fee, "USD"))