Overall Statistics
Total Trades
10001
Average Win
0.08%
Average Loss
-0.08%
Compounding Annual Return
-17.764%
Drawdown
21.100%
Expectancy
-0.038
Net Profit
-14.712%
Sharpe Ratio
-1.324
Loss Rate
52%
Win Rate
48%
Profit-Loss Ratio
1.00
Alpha
-0.226
Beta
4.68
Annual Standard Deviation
0.114
Annual Variance
0.013
Information Ratio
-1.466
Tracking Error
0.114
Treynor Ratio
-0.032
Total Fees
$0.00
 
namespace QuantConnect 
{  
    public class BasicTemplateAlgorithm : QCAlgorithm
    {
    	public string symbol = "EURUSD";
    	RollingWindow<QuoteBar> Pair;
    	
        public override void Initialize() 
        {
            SetStartDate(2016, 1, 1);         
            SetEndDate(DateTime.Now);
            SetCash(1000);

            AddSecurity(SecurityType.Forex, symbol, Resolution.Hour);
            Pair = new RollingWindow<QuoteBar>(5);
        }

        public void OnData(QuoteBars data) 
        {
        	Pair.Add(data[symbol]);
        	if (!Pair.IsReady) return;
        	
        	if (Portfolio[symbol].Invested)
        	{
        		SetHoldings(symbol, 0);
        	}
        	
        	if (!Portfolio[symbol].IsLong && Pair[0].Close < Pair[1].Open)
        	{
        		SetHoldings(symbol, 2, false, "Long " + symbol);	
        	}
        	
        	if (!Portfolio[symbol].IsShort && Pair[0].Close > Pair[1].Open)
        	{
        		SetHoldings(symbol, -2, false, "Short " + symbol);
        	}
        }
    }
}