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))