Overall Statistics |
Total Trades 231 Average Win 2.50% Average Loss -3.37% Compounding Annual Return 19.846% Drawdown 29.200% Expectancy 0.119 Net Profit 43.702% Sharpe Ratio 0.603 Probabilistic Sharpe Ratio 25.025% Loss Rate 36% Win Rate 64% Profit-Loss Ratio 0.74 Alpha 0.159 Beta 0.026 Annual Standard Deviation 0.267 Annual Variance 0.071 Information Ratio 0.265 Tracking Error 0.29 Treynor Ratio 6.147 Total Fees $0.00 |
import numpy as np ### <summary> ### Basic template algorithm simply initializes the date range and cash. This is a skeleton ### framework you can use for designing an algorithm. ### </summary> class BasicTemplateAlgorithm(QCAlgorithm): '''Basic template algorithm simply initializes the date range and cash''' def Initialize(self): self.SetStartDate(2017,7, 31) #Set Start Date self.SetEndDate(2019,7,31) #Set End Date self.SetCash(5000) #Set Strategy Cash #This algorithm trades EURGBP on the Hour Resolution self.AddForex("EURGBP", Resolution.Hour, Market.Oanda) self.SetBrokerageModel(BrokerageName.OandaBrokerage) #We add our RSI 14 period indicator self.rsi = self.RSI("EURGBP", 14) #pointer to keep track of last bar's RSI Value self.lastrsi = None def OnData(self, data): #Make sure our indicator is ready before we can use it if not self.rsi.IsReady: return #Make sure there is a past RSI value to compare to if self.lastrsi is None: self.lastrsi = self.rsi.Current.Value return #If we cross oversold threshold from below if self.lastrsi < 30 and self.rsi.Current.Value > 30: #if we are not currently in a trade if not self.Portfolio["EURGBP"].Invested: #we place a long market order self.SetHoldings("EURGBP", 5) #If RSI is oversold while we are short elif self.rsi.Current.Value < 30 and self.Portfolio["EURGBP"].IsShort: # if we are already in a short trade we liquidate self.Liquidate() #if RSI signals overbought if self.lastrsi > 70 and self.rsi.Current.Value < 70: if not self.Portfolio["EURGBP"].Invested: #enter short position self.SetHoldings("EURGBP", -5) #if RSI is overbought while we are long elif self.rsi.Current.Value > 70 and self.Portfolio["EURGBP"].IsLong: #if we already in a long trade we liquidate self.Liquidate() #store current RSI value to use later self.lastrsi = self.rsi.Current.Value