| Overall Statistics |
|
Total Trades 12 Average Win 0% Average Loss 0.00% Compounding Annual Return -0.034% Drawdown 0.000% Expectancy -1 Net Profit -0.004% Sharpe Ratio -6.877 Probabilistic Sharpe Ratio 0.003% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio -3.563 Tracking Error 0.17 Treynor Ratio 2.684 Total Fees $0.00 |
class MovingAverageCrossAlgorithm(QCAlgorithm):
def Initialize(self):
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
self.SetStartDate(2020, 10, 25) #Set Start Date
self.SetCash(1000) #Set Strategy Cash
# Find more symbols here: http://quantconnect.com/data
self.symbol = 'EURUSD'
self.AddForex(self.symbol, Resolution.Hour)
# create a 15 day exponential moving average
self.fast = self.EMA(self.symbol, 15, Resolution.Hour)
# create a 30 day exponential moving average
self.slow = self.EMA(self.symbol, 30, Resolution.Hour)
self.firstRun = True
self.previous = None
stockPlot = Chart('Trade Plot')
# Import the necessary module before using Custom color
from System.Drawing import Color
stockPlot.AddSeries(Series('Price', SeriesType.Candle, '$', Color.Green))
stockPlot.AddSeries(Series('Buy', SeriesType.Scatter, '$', Color.Red, ScatterMarkerSymbol.Triangle))
stockPlot.AddSeries(Series('Sell', SeriesType.Scatter, '$', Color.Blue, ScatterMarkerSymbol.TriangleDown))
stockPlot.AddSeries(Series('fastEma', SeriesType.Line, '$', Color.Orange))
stockPlot.AddSeries(Series('slowEma', SeriesType.Line, '$', Color.Black))
self.AddChart(stockPlot)
def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''
if not self.slow.IsReady:
return
# define a small tolerance on our checks to avoid bouncing
tolerance = 0.00015
holdings = self.Portfolio[self.symbol].Quantity
close = self.Securities[self.symbol].Close
self.emaSlowValue = self.slow.Current.Value
self.emaFastValue = self.fast.Current.Value
if self.firstRun == True:
self.isLong = self.emaFastValue < self.emaSlowValue
self.firstRun == False
self.Plot('Trade Plot', 'Price', data[self.symbol].Price)
self.Plot('Trade Plot', 'fastEma', self.emaFastValue)
self.Plot('Trade Plot', 'slowEma', self.emaSlowValue)
positionSize = 1.0
if not self.Portfolio.Invested:
if self.fast.Current.Value > self.slow.Current.Value * (1 + tolerance) and self.isLong:
self.Log("BUY >> {0}".format(self.Securities[self.symbol].Price))
self.MarketOrder(self.symbol, positionSize)
self.LimitOrder(self.symbol, -positionSize, 1.01*close)
self.StopMarketOrder(self.symbol, -positionSize, 0.995*close)
self.Plot('Trade Plot', 'Buy', data[self.symbol].Close)
if (self.fast.Current.Value < self.slow.Current.Value * (1 + tolerance) and not self.isLong):
self.Log("SELL >> {0}".format(self.Securities[self.symbol].Price))
self.Log("Take profit ORDER PRICE >> {0}".format(0.990*close))
self.Log("Stop Loss ORDER PRICE >> {0}".format(1.005*close))
self.MarketOrder(self.symbol, -positionSize)
self.LimitOrder(self.symbol, positionSize, 0.990*close)
self.StopLimitOrder(self.symbol, positionSize, 1.005*close, 1.006*close)
self.Plot('Trade Plot', 'Sell', data[self.symbol].Close)
def OnOrderEvent(self, orderEvent):
order = self.Transactions.GetOrderById(orderEvent.OrderId)
### Cancel remaining order if limit order or stop loss order is executed
if order.Status == OrderStatus.Filled:
self.Log("{0}: {1}: {2}".format(self.Time, order.Type, orderEvent))
self.isLong = self.emaFastValue > self.emaSlowValue
self.Log(">>> IS LONG VAR: " + str(self.isLong))
if order.Type == OrderType.Limit or OrderType.StopLimit:
self.Transactions.CancelOpenOrders(order.Symbol)
if order.Status == OrderStatus.Canceled:
self.Log(str(orderEvent))