| Overall Statistics |
|
Total Trades 3 Average Win 0.00% Average Loss 0% Compounding Annual Return -0.002% Drawdown 0.000% Expectancy 0 Net Profit -0.001% Sharpe Ratio -0.167 Probabilistic Sharpe Ratio 18.605% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0 Beta -0.001 Annual Standard Deviation 0 Annual Variance 0 Information Ratio -0.149 Tracking Error 0.079 Treynor Ratio 0.013 Total Fees $0.00 |
from Alphas.EmaCrossAlphaModel import EmaCrossAlphaModel
from datetime import datetime,timedelta
import numpy as np
from System.Collections.Generic import List
from QuantConnect.Data.UniverseSelection import*
from System import *
from QuantConnect.Indicators import ExponentialMovingAverage
class ScheduledEventsAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 1, 1) # Set Start Date
self.SetEndDate(2020, 6, 22) # Set end date
self.SetCash(100000000) # Set Strategy Cash
self.forex = self.AddForex("EURUSD", Resolution.Minute, Market.Oanda)
self.SetBrokerageModel(BrokerageName.OandaBrokerage)
self.EMA5 = ExponentialMovingAverage(5)
self.EMA40 = ExponentialMovingAverage(40)
self.RegisterIndicator("EURUSD", self.EMA5, timedelta(minutes=5))
self.RegisterIndicator("EURUSD", self.EMA40, timedelta(minutes=5))
self.SetBenchmark("EURUSD")
self.SetWarmUp(55)
self.Schedule.On(self.DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday), self.TimeRules.At(4,0), self.SpecificTime)
def OnData(self, data):
if self.IsWarmingUp:
return
def SpecificTime(self):
self.Plot('Custom', 'EMA5', self.EMA5.Current.Value)
self.Plot('Custom', 'EMA40', self.EMA40.Current.Value)
self.Plot("Diff", "EMA5-EMA40", self.EMA5.Current.Value - self.EMA40.Current.Value)
self.Plot("Invested", "Invested", int(self.Portfolio.Invested))
if not self.Portfolio.Invested:
close=self.Securities["EURUSD"].Close
if self.EMA5.Current.Value>self.EMA40.Current.Value:
self.MarketOrder("EURUSD", 100000)
self.stopLimitTicket = self.LimitOrder("EURUSD", -100000, (close+0.0011))
self.stopMarketTicket = self.StopMarketOrder("EURUSD", -100000, (close-0.0005))
if self.EMA5.Current.Value<self.EMA40.Current.Value:
self.MarketOrder("EURUSD", -100000)
self.stopLimitTicket = self.LimitOrder("EURUSD", 100000, (close-0.0011))
self.stopMarketTicekt = self.StopMarketOrder("EURUSD", 100000, (close+0.0005))