| Overall Statistics |
|
Total Trades 212 Average Win 0.89% Average Loss -0.68% Compounding Annual Return 1.432% Drawdown 8.800% Expectancy 0.127 Net Profit 8.915% Sharpe Ratio 0.288 Probabilistic Sharpe Ratio 1.858% Loss Rate 51% Win Rate 49% Profit-Loss Ratio 1.30 Alpha 0.01 Beta 0.007 Annual Standard Deviation 0.037 Annual Variance 0.001 Information Ratio -0.566 Tracking Error 0.156 Treynor Ratio 1.429 Total Fees $0.00 Estimated Strategy Capacity $12000000.00 Lowest Capacity Asset EURUSD 8G |
class WellDressedApricotOwlet(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2015, 1, 1) # Set Start Date
self.SetEndDate(2020,12,31)
self.SetCash(50000) # Set Strategy Cash
self.eur = self.AddForex("EURUSD",Resolution.Minute).Symbol
self.SetWarmUp(timedelta(days=201))
self.ema200 = self.EMA(self.eur,200,Resolution.Daily)
self.ema50 = self.EMA(self.eur,50,Resolution.Daily)
self.Schedule.On(self.DateRules.Every(DayOfWeek.Sunday),self.TimeRules.AfterMarketOpen(self.eur,20),self.CompraDomingo)
self.Schedule.On(self.DateRules.Every(DayOfWeek.Friday),self.TimeRules.BeforeMarketClose(self.eur,20),self.VentaViernes)
def OnData(self, data):
pass
def CompraDomingo(self):
if(self.ema50.Current.Value > self.ema200.Current.Value):
self.SetHoldings(self.eur,1)
def VentaViernes(self):
self.Liquidate()