| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return -12.778% Drawdown 0.800% Expectancy 0 Net Profit -0.178% Sharpe Ratio -1.781 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.308 Beta -35.942 Annual Standard Deviation 0.05 Annual Variance 0.002 Information Ratio -1.999 Tracking Error 0.05 Treynor Ratio 0.002 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):
def Initialize(self):
self.SetStartDate(2013,10, 7) #Set Start Date
self.SetEndDate(2013,10,11) #Set End Date
self.SetCash(100000) #Set Strategy Cash
self.AddForex("EURUSD", Resolution.Minute)
self.value = 0 #THIS NUMBER CAN BE THE VALUE NEEDED
def OnData(self, data):
if data.ContainsKey("EURUSD"):
quoteBar = data['EURUSD']
self.Log(f"Time: {quoteBar.EndTime}") #The time the period closes
if quoteBar.Open > self.value:
self.SetHoldings("EURUSD", 1)
if quoteBar.Open < self.value:
self.SetHoldings("EURUSD", -1)