| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return -98.677% Drawdown 1.200% Expectancy 0 Net Profit -1.178% Sharpe Ratio -36.34 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -1.948 Beta 66.627 Annual Standard Deviation 0.041 Annual Variance 0.002 Information Ratio -37.065 Tracking Error 0.04 Treynor Ratio -0.022 Total Fees $0.00 |
import datetime
class BasicTemplateAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019,1,7) #Set Start Date
self.SetEndDate(2019,1,7) #Set End Date
self.SetCash(100000) #Set Strategy Cash
self.AddForex("EURUSD", Resolution.Minute)
self.testOrder: OrderTicket
def OnData(self, data):
qb = data["EURUSD"]
if qb.Time.hour != 9:
return
self.Debug(" Bar Time: " + str(qb.Time) + " Last price = " + str(qb.Close) + " High Price = " + str(qb.High))
if self.Transactions.OrdersCount == 0:
self.StopLimitOrder("EURUSD", 100000, qb.Close + 0.0015, qb.Close + 0.0100)
self.Debug("Sent order: Buy 100k EURUSD stop: " + str(qb.Close + 0.0015) + " limit " + str(qb.Close + 0.0100))
def OnOrderEvent(self, orderEvent):
order = self.Transactions.GetOrderById(orderEvent.OrderId)
self.Debug("{0}: {1}: {2}".format(self.Time, order.Type, orderEvent))