Backtest

Overall Statistics
Total Trades 120 Average Win 0.18% Average Loss -0.04% Compounding Annual Return 6.262% Drawdown 8.700% Expectancy 2.301 Net Profit 35.548% Sharpe Ratio 0.841 Probabilistic Sharpe Ratio 31.147% Loss Rate 44% Win Rate 56% Profit-Loss Ratio 4.87 Alpha 0.045 Beta -0.003 Annual Standard Deviation 0.053 Annual Variance 0.003 Information Ratio -0.509 Tracking Error 0.165 Treynor Ratio -13.904 Total Fees $0.00 Estimated Strategy Capacity $1900000.00 Lowest Capacity Asset USDTRY 8G

using System.Linq;
using NodaTime;

namespace QuantConnect
{
    public class BootCampTask : QCAlgorithm
    {
    	Dictionary<Symbol, string> symbols = new Dictionary<Symbol, string>();
    	string[] rateSymbols;
    	
        public override void Initialize()
        {
            SetStartDate(2016, 6, 1);
            SetEndDate(2021, 6, 1);
            SetCash(100000);
            
            string[] tickers = {"USDEUR", "USDZAR", "USDAUD",
                   "USDJPY", "USDTRY", "USDINR", 
                   "USDCNY", "USDMXN", "USDCAD"};
                   
            rateSymbols = new string[9] {"BCB/17900",  // Euro Area 
                        "BCB/17906",  // South Africa
                        "BCB/17880",  // Australia
                        "BCB/17903",  // Japan
                        "BCB/17907",  // Turkey
                        "BCB/17901",  // India
                        "BCB/17899",  // China
                        "BCB/17904",  // Mexico
                        "BCB/17881"};  // Canada
            
            for (int i = 0; i < tickers.Length; i++)
            {
        		Symbol symbol = AddForex(tickers[i], Resolution.Daily, Market.Oanda).Symbol;
            	AddData<QuandlRate>(rateSymbols[i], Resolution.Daily, DateTimeZone.Utc, true);
            	symbols.Add(symbol, rateSymbols[i]);
            }
            
            Schedule.On(DateRules.MonthStart("USDEUR"), TimeRules.AfterMarketOpen("USDEUR"), Rebalance);
        }
      
    	public void Rebalance()
    	{
    		List<Symbol> sortedSymbols = symbols.Keys.OrderBy(x => Securities[symbols[x]].Price).ToList();
    		
    		if (Securities[sortedSymbols.First()].Price != 0 && Securities[sortedSymbols.Last()].Price != 0)
    		{
	    		SetHoldings(sortedSymbols.First(), -0.5);
	    		SetHoldings(sortedSymbols.Last(), 0.5);
    		}
    	}
        
        
        public override void OnData(Slice data)
        {
        }
        
        
        public class QuandlRate : Quandl
        {
	        public QuandlRate() : base(valueColumnName: "Value") 
	        {
        	}
    	}
    }
}